Abstract
The study focused on the stocks of major six gambling enterprises in Macao and tested the period of samples by using GARCH (1,1) model, compared the monthly situations with Hong Kong stock market and United States stock market for discussing the existence of “Month-of-the-Year Effect” in those stocks. The empirical result showed that “Month-of-the-Year Effect” existed in the stock of Galaxy (00027, GXYEF), Melco (00200, MLCO) and Sands (01928, LVS). The “Month-of-the-Year Effect” existed only in the stock of Wynn (WYNN) and MGM (MGM) at United States stock market. However, the “Month-of-the-Year Effect” didn’t exist in the stock of SJM (00880, SJMHF).
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