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Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract

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  • Vicent AragO-Manzana
  • M Angeles Fernandezizquierdo

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  • Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:3:p:129-133
    DOI: 10.1080/1350485022000041041
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    1. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    2. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    3. Gultekin, Mustafa N & Gultekin, N Bulent, 1987. "Stock Return Anomalies and the Tests of the APT," Journal of Finance, American Finance Association, vol. 42(5), pages 1213-1224, December.
    4. Dyl, Edward A & Maberly, Edwin D, 1986. "The Weekly Pattern in Stock Index Futures: A Further Note," Journal of Finance, American Finance Association, vol. 41(5), pages 1149-1152, December.
    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. Joan C. Junkus, 1986. "Weekend and day of the week effects in returns on stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(3), pages 397-407, September.
    7. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    8. Philip Hans Franses & Richard Paap, 2000. "Modelling day-of-the-week seasonality in the S&P 500 index," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 483-488.
    9. Cornell, Bradford, 1985. "The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-588, June.
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    12. Johnston, Elizabeth Tashijan & Kracaw, William A. & McConnell, John J., 1991. "Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 23-44, March.
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    20. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    21. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
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    1. K. Maris & K. Nikolopoulos & K. Giannelos & V. Assimakopoulos, 2007. "Options trading driven by volatility directional accuracy," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 253-260.

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