IDEAS home Printed from https://ideas.repec.org/a/seb/journl/v7y2009i2p229-255.html
   My bibliography  Save this article

A Comprehensive Study on the Seasonality of Greek Equity Funds Performance

Author

Listed:
  • Gerasimos G. Rompotis

    (Senior Auditor-KPMG Greece
    Researcher-National and Kapodistrian University of Athens, Greece)

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.

Suggested Citation

  • Gerasimos G. Rompotis, 2009. "A Comprehensive Study on the Seasonality of Greek Equity Funds Performance," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 7(2), pages 229-255.
  • Handle: RePEc:seb:journl:v:7:y:2009:i:2:p:229-255
    as

    Download full text from publisher

    File URL: http://www.asecu.gr/Seeje/issue13/Rompotis.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
    2. Harjeet S Bhabra & Upinder S Dhillon & Gabriel G Ramirez, 1999. "A November Effect? Revisiting the Tax-Loss-Selling Hypothesis," Financial Management, Financial Management Association, vol. 28(4), Winter.
    3. Gibson, Scott & Safieddine, Assem & Titman, Sheridan, 2000. "Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 369-386, September.
    4. Raj Aggarwal & Ramesh P. Rao & Takato Hiraki, 1990. "Regularities In Tokyo Stock Exchange Security Returns: P/E, Size, And Seasonal Influences," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 249-263, September.
    5. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    6. D'Mello, Ranjan & Ferris, Stephen P. & Hwang, Chuan Yang, 2003. "The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year," Journal of Financial Markets, Elsevier, vol. 6(1), pages 73-98, January.
    7. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    8. Christos Floros, 2008. "The monthly and trading month effects in Greek stock market returns: 1996-2002," Managerial Finance, Emerald Group Publishing, vol. 34(7), pages 453-464, June.
    9. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    10. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
    11. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    corporate governance; reform; takeover; rule; shareholders; mandatory bid rule; squeeze-out; sell-out;

    JEL classification:

    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:seb:journl:v:7:y:2009:i:2:p:229-255. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ms. Melina Petromelidou). General contact details of provider: http://edirc.repec.org/data/asecuea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.