The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets
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References listed on IDEAS
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Keywordsseasonality; stock returns; calendar effects; month of the year effect; asymmetric GARCH models; asymmetry tests; January effect;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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