IDEAS home Printed from https://ideas.repec.org/a/mnb/finrev/v23y2024i3p117-139.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-23-3-st5-kegl-petroczy.pdf
    Download Restriction: no
    ---><---

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mnb:finrev:v:23:y:2024:i:3:p:117-139. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Morvay Endre (email available below). General contact details of provider: https://edirc.repec.org/data/mnbgvhu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.