Some International Evidence on the Seasonality of Stock Prices
AbstractThis paper performs seasonal integration tests based on stock price indices for the G7 countries. Nonseasonal unit roots were found in all countries. This implies that the (1-B) filter is all that is needed to obtain the stationarity of stock prices, and the inclusion of dummy variables is all that is needed to consider seasonality in stock prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 1 (2002)
Issue (Month): 1 (April)
seasonal integration; stock prices; monthly effects;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-56, July.
- Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
- Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(1), pages 25-48.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
- Lee, H.S. & Siklos, P.L., 1991.
"Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence,"
91143, Wilfrid Laurier University, Department of Economics.
- Lee, Hahn Shik & Siklos, Pierre L., 1991. "Unit roots and seasonal unit roots in macroeconomic time series : Canadian evidence," Economics Letters, Elsevier, vol. 35(3), pages 273-277, March.
- Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers 91143, Wilfrid Laurier University, Department of Economics.
- Peiro, Amado, 1994. "Daily seasonality in stock returns : Further international evidence," Economics Letters, Elsevier, vol. 45(2), pages 227-232, June.
- Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
- Taylor, A M Robert & Leybourne, Stephen J, 1999. "Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function," Manchester School, University of Manchester, vol. 67(3), pages 261-86, June.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
- Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jui-Fen Lin).
If references are entirely missing, you can add them using this form.