A comprehensive study on the seasonality of Greek equity funds performance.

Authors

  • Gerasimos Rompotis

Keywords:

Seasonality, Mutual Funds, Day-of-the-week effect, Monthly effect, Half-Monthly effect, Holidays effect, G14, G15

Abstract

This paper searches for seasonality patterns in performance of Greek equity mutual funds during the period 2002-2005. Four types of seasonality are assessed: day-of-the week effect, monthly effect, half-monthly effect and holidays’ effect. Results reveal a negative Monday effect and a positive Friday effect. Monday returns are also more volatile than the other day-of-the-week returns. Furthermore, the paper demonstrates that the well- known January effect does not apply to Greek equity funds while performance is not affected by any other monthly impact either. However, a half-monthly effect is revealed, namely returns during the first half of each month exceed these in the second half. Finally, a positive holiday effect on returns is found in the week after Easter, August 15th and Christmas.

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Published

2015-10-16

Issue

Section

Articles