Η επίδραση του μήνα στις αποδόσεις των μετοχών
Monthly effect on share returns
KeywordsΜηνιαία εποχικότητα, Φαινόμενο του Ιανουαρίου ; Μηνιαία εποχικότητα ; Φαινόμενο του Ιανουαρίου ; Υπόθεση "tax-loss selling" ; Στασιμότητα χρονοσειρών ; Παλινδρόμηση με ψευδο-μεταβλητές
The presence of the existence of seasonality in stock returns has been identified in many developed and emerging stock markets. This paper explores the existence of the monthly seasonality and, in particular, the impact of the January phenomenon on the performance of fifteen European stock indices of the countries: Germany, France, Spain, Italy, Belgium, the Netherlands, Finland, Austria, Portugal, Ireland, Slovakia, Luxembourg, Malta, Greece and Estonia for the period 2004 to 2017. The study starts with an introduction to the basic concepts of financial ratios and statistical criteria for analyzing and selecting a portfolio and the systematic and unsystematic risk portfolio. It also develops the model of one index, the capital market theory and the Capital Asset Pricing Model (CAPM). An overview of previous internationally published studies is presented as the objective, the data, the methodology and the results of each empirical study are presented too. It follows a detailed presentation of the methodology and data used in the research to create a time-series regression model for each month, setting as a reference month, the month of January to examine the effect of seasonality on stock returns. The analysis of the results revealed the existence of the January phenomenon in the stock indices of Germany, Belgium, the Netherlands, Ireland, Luxembourg and Malta. The existence of the "January effect" in these countries supports the case of "Tax-loss selling" and does not confirm the Efficient Market Hypothesis (EMH) theory. Investors can therefore invest at a given time and earn higher returns than the shares they hold.