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Some International Evidence on the Seasonality of Stock Prices

  • Shigeyuki Hamori

    (Faculty of Economics, Kobe University, Japan)

  • Akira Tokihisa

    (Faculty of Economics, Kobe University, Japan)

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.

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Article 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)
Pages: 79-86

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Handle: RePEc:ijb:journl:v:1:y:2002:i:1:p:79-86
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  1. 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.
  2. 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.
  3. 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.
  4. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
  5. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
  11. Peiro, Amado, 1994. "Daily seasonality in stock returns : Further international evidence," Economics Letters, Elsevier, vol. 45(2), pages 227-232, June.
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