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Comparison of Seasonal Anomalies across Major Equity Markets: A Note
Author(s) -
Wilson Jack W.,
Jones Charles P.
Publication year - 1993
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1993.tb01340.x
Subject(s) - econometrics , ordinary least squares , equity (law) , normality , economics , stock (firearms) , seasonality , statistics , financial economics , mathematics , geography , political science , law , archaeology
This paper reexamines the existence of seasonal anomalies in daily stock prices by integrating seasonal patterns into a single comprehensive model that captures the joint effects of seasonal variations for each of the three major markets. This model incorporates serial correlation and corrects for non‐normality by using robust regression techniques. Serial correlation is found to be important, as is the day of the week and the January variable. Furthermore, the Tuesday after a Monday holiday is significant for two markets using the robust technique (but not ordinary least squares). Finally, the day‐preceding‐a‐holiday effect is strongly significant.