The Month-of-the-Year Effect: Evidence from GARCH models in Fifty Five Stock Markets

Eleftherios Giovanis

Journals / Aydın İktisat Fakültesi Dergisi / 2016 / Cilt: 1 Sayı: 1

The Month-of-the-Year Effect: Evidence from GARCH models in Fifty Five Stock Markets

Yılın Ayı Etkisi: Ellibeş Adet Borsada GARCH Modellerinden Bulgular

Eleftherios Giovanis

Journal: Aydın İktisat Fakültesi Dergisi
Issue: 2016 · Cilt: 1 Sayı: 1
Pages: 20–49
Publication Date: 2016-06-01
DOI: —

🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.

DergiPark Record ↗

Keywords

Asimetrik GARCH modelleri Asimetri testleri Takvim anomalileri etkisi Ocak etkisi Yılın ayı etkisi Mevsimsellik Asymmetric GARCH models Asymmetry Tests Calendar Effects January Effect Month of the Year Effect Seasonality

🔖

Cite This Article

Giovanis, E. (2016). The Month-of-the-Year Effect: Evidence from GARCH models in Fifty Five Stock Markets. Aydın İktisat Fakültesi Dergisi, Cilt: 1 Sayı: 1, 20–49. https://ajindex.com/articles/1061207

📄 Full Text PDF Viewer

Open in New Tab ↗