Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China

Month of the year effect and January eff

Month of the year effect and January effect in pre-WWI stock returns: evidence from a non-linear GARCH model

✍ Taufiq Choudhry 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 101 KB 👁 1 views

## Abstract This paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐__t__ model, an