Premium
Seasonality Estimation in Thin Markets
Author(s) -
THEOBALD MICHAEL,
PRICE VERA
Publication year - 1984
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1984.tb02315.x
Subject(s) - seasonality , econometrics , index (typography) , economics , stock (firearms) , sample (material) , seasonal adjustment , estimation , articulation (sociology) , stock market index , statistics , geography , mathematics , stock market , computer science , political science , physics , mathematical analysis , context (archaeology) , archaeology , variable (mathematics) , politics , world wide web , law , management , thermodynamics
The greater availability of daily data in the U.S. has led to a number of studies of the seasonality of daily stock (index) returns. While the studies recognized the potential impacts of nontrading and price‐adjustment delays in general, no formal analyses of such impacts were presented; in this paper analytic results are presented for the articulation between these phenomena. The implications of the analysis are discussed and shown to be consistent with a sample of U.K. index data. A modified form of the negative weekend effect is found to be present in the U.K. data analyzed.