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Daily seasonality and stock market reforms in Spain

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  • Peña, Juan Ignacio

Abstract

This paper addresses the consequences of Spanish Stock Exchange Reform on the seasonal patterns of daily asset excess returns. Before the Reform, positive abnormal average Monday excess returns are found. Possible causes are discussed and related with clearing and trading mechanisms. After the Reform daily seasonal effects disappear, suggesting an increase in the market's operational efficiency.

Suggested Citation

  • Peña, Juan Ignacio, 1994. "Daily seasonality and stock market reforms in Spain," DEE - Working Papers. Business Economics. WB 10735, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:10735
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    References listed on IDEAS

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    1. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
    2. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
    3. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. "The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-454, June.
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