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Microstructure and Seasonality in the UK Equity Market

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  • Paul Draper
  • Krishna Paudyal

Abstract

This paper explores seasonality in the UK stock market. It examines the impact of alternative company year‐ends on returns as well as seasonality in bid‐ask spreads and trading activity variables including volume, number and size of trades. Consistent with the evidence elsewhere, seasonal variation in stock returns and trading activity is established although there is little evidence of a seasonal pattern in relative bid‐ask spreads. Trading rules based on the seasonal patterns do not suggest that seasonality can be exploited to earn excess profits.

Suggested Citation

  • Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(7‐8), pages 1177-1204, September.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:7-8:p:1177-1204
    DOI: 10.1111/1468-5957.00158
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    Cited by:

    1. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751.
    2. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
    3. Gao, Lei & Kling, Gerhard, 2006. "Regulatory changes and market liquidity in Chinese stock markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 162-175, June.
    4. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
    5. Alexandra Maria SERBU & Theodor Gabriel TRIFAN, 2024. "Drifting away from market efficiency: the presence of the January effect in the U.S. stock market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(638), S), pages 95-104, Spring.
    6. Charlie X. Cai & David Hillier & Robert Hudson & Kevin Keasey, 2008. "Trading Frictions and Market Structure: An Empirical Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(3‐4), pages 563-579, April.
    7. Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
    8. Farhang Niroomand & Massoud Metghalchi & Massomeh Hajilee, 2020. "Efficient market hypothesis: a ruinous implication for Portugese stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 749-763, October.

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