Електронний каталог

          Rompotis, G. G.
    A comprehensive study on the seasonality of Greek equity funds performance [Text] [Текст] / G. G. Rompotis ; Gerasimos G. Rompotis
    // South-Eastern Europe Journal of Economics (SEEJE). – Thessaloniki : University of Macedonia Press, 2009. – Vol. 7, № 2. – P. 229-255.

   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.


ББК У262.29

            


Є складовою частиною документа South-Eastern Europe Journal of Economics (SEEJE) [Текст]. Vol. 7. № 2. – ASECU, University of Macedonia. – Thessaloniki : University of Macedonia Press, 2009. – журнал.



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Український Фондовий Дім Інформаційно-пошукова система
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