Is there a monthly effect in stock market returns?: Evidence from foreign countries

In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern).