ANOMALIES OR ILLUSIONS - EVIDENCE FROM STOCK MARKETS IN 18 COUNTRIES

This paper examines five seasonal patterns in stock markets of eightee n countries: the weekend, turn-of-the-month, end-of-December, monthly and Friday-the-thirteenth effects. We find a daily seasonal in nearly all the countries, but a weekend effect in only nine countries. Intere stingly, the daily seasonal largely disappears in the 1980s. The last trading day of the month has large returns and low variance in most co untries. Many countries have large December pre-holiday and inter-holi day returns. The January returns are large in most countries and a sig nificant monthly seasonal exists in ten countries. (JEL G14 or G15).