Seasonality Effect Anomalies in Emerging Stock Markets : Evidence from Asia and Africa

This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies using the standard GARCH, exponential GARCH (EGARCH) and the GJR models. The expected results are finding some evidence of seasonality in some countries like India, China, and Egypt .this seasonality could be in couple of months in the year and the explanation for this phenomenon could be different of the ones which are reported in prior papers .the explanation is expected to be attributed to holidays or some economics aspects