Comparison of Seasonal Anomalies across Major Equity Markets: A Note

Jack W. Wilson · Charles P. Jones

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

Abstract This paper reexamines the existence of seasonal anomalies in daily stock prices by integrating seasonal patterns into a single comprehensive model that captures the joint effects of seasonal variations for each of the three major markets. This model incorporates serial correlation and corrects for non‐normality by using robust regression techniques. Serial correlation is found to be important, as is the day of the week and the January variable. Furthermore, the Tuesday after a Monday holiday is significant for two markets using the robust technique (but not ordinary least squares). Finally, the day‐preceding‐a‐holiday effect is strongly significant.

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References

1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts 1988Time-Variation in Expected Returns 1982Weekend Effects on Stock Returns: A Note

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