An Analysis of Seasonality in the U.K. Equity Market

Andrew Clare · Zacharias Psaradakis A · Stephen H. Thomas

54 citations0/0 files storedThe Economic Journal

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

Abstract

This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk.

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References

1988Testing for a Unit Root in Time Series Regression 1981The relationship between return and market value of common stocks 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1980On estimating the expected return on the market 2010Critical Values for Cointegration Tests 1983Size-related anomalies and stock return seasonality 1990Seasonal integration and cointegration 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence

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