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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
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    File URL: http://www.asecu.gr/Seeje/issue13/Rompotis.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    corporate governance; reform; takeover; rule; shareholders; mandatory bid rule; squeeze-out; sell-out;
    All these keywords.

    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

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