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The Effect of Seasonal Depression on Stock Market Returns

Author

Listed:
  • Virag Kegl

    (Budapest University of Economics and Technology, Rajk College for Advanced Studies)

  • Dora Greta Petroczy

    (Budapest Metropolitan University, Magyar Nemzeti Bank)

Abstract

The study analyses the statistical relationship between the degree of seasonal depression and stock index returns. For this analysis, we examine the daily returns of two US and five European stock indices using OLS regression. The analysis found a statistically significant relationship between seasonal depression and the change in returns. However, due to the limited use of the reduced form, this only confirms the link between seasonal depression and returns, and further observations would be required to confirm a causal relationship.

Suggested Citation

  • Virag Kegl & Dora Greta Petroczy, 2024. "The Effect of Seasonal Depression on Stock Market Returns," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 23(3), pages 117-139.
    • Handle: RePEc:mnb:finrev:v:23:y:2024:i:3:p:117-139
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    File URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-23-3-st5-kegl-petroczy.pdf
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    References listed on IDEAS

    as
    1. Shanaev, Savva & Shuraeva, Arina & Fedorova, Svetlana, 2022. "The Groundhog Day stock market anomaly," Finance Research Letters, Elsevier, vol. 47(PA).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    investor sentiment; seasonal depression; stock indices; stock market returns;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G40 - Financial Economics - - Behavioral Finance - - - General

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