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Some International Evidence on the Seasonality of Stock Prices

Author

Listed:
  • Shigeyuki Hamori

    (Faculty of Economics, Kobe University, Japan)

  • Akira Tokihisa

    (Faculty of Economics, Kobe University, Japan)

Abstract

This 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.

Suggested Citation

  • Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.
    • Handle: RePEc:ijb:journl:v:1:y:2002:i:1:p:79-86
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    References listed on IDEAS

    as
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    6. 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 261-286, June.
    7. Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-356, July.
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    Cited by:

    1. 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, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.

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    More about this item

    Keywords

    seasonal integration; stock prices; monthly effects;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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