Market Efficiency in Emerging Economies : An Empirical Analysis of Month-of-the-Year Effect

This paper investigates the presence of month-of-the-year effect in the stock index returns and volatility of emerging stock markets using GARCH (1, 1) model. The results show that the months around the end of the year and beginning of the New Year are marked by significant positive mean returns. This is evident from the presence of November/December/January effect in Argentine, Indian, Malaysian and Russian stock market returns. The months in the third quarter of the year, i.e., August and September, exhibit statistically significant negative mean coefficients for a majority of the stock markets. The volatility patterns are country-specific and no general trend can be discerned