 A Comprehensive Study on the Seasonality of Greek Equity Funds PerformanceGerasimos G. Rompotis
South-Eastern Europe Journal of Economics, 2009, vol. 7, issue 2, 229-255 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. Keywords: corporate governance; reform; takeover; rule; shareholders; mandatory bid rule; squeeze-out; sell-out (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:seb:journl:v:7:y:2009:i:2:p:229-255 Access Statistics for this article More articles in South-Eastern Europe Journal of Economics from Association of Economic Universities of South and Eastern Europe and the Black Sea Region Contact information at EDIRC. |
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