Abstract

This paper investigates the month-of-the-year effect in the UK Brent crude oil market using the GARCH (1,5)
and GJR-GARCH (1,5) models in the light of Asian financial crisis and the global financial crisis using daily
data over the period, January 4, 1988 and May 27, 2009. The result shows the presence of the month-of-the-year
effect in volatility but not in the return in the oil market. However, the pattern of significance of monthly effect
in volatility is affected by the choice of model. The significant month-of-the-year effect on volatility may be in
line with information availability theory
The result shows that the Asian financial crisis has an impact on the oil price return series while the global
financial crisis has no impact on oil price returns. The Asian financial crisis and global financial crisis did not
account for the sudden change in variance.

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