Evidence on the seasonality of stock market prices of firms traded on organized markets

Abstract

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organized markets. The weak form of the efficient markets hypothesis is put in dispute by the results of this study. Furthermore, this study of individual securities prices of US traded securities corroborates previous findings of studies of stock market indexes both in the USA and for foreign stock exchanges that seasonality is present in the times of securities prices.

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