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Evidence on the seasonality of stock market prices of firms traded on organized markets

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  • Jeffrey Jarrett
  • Eric Kyper

Abstract

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organized markets. The weak form of the efficient markets hypothesis is put in dispute by the results of this study. Furthermore, this study of individual securities prices of US traded securities corroborates previous findings of studies of stock market indexes both in the USA and for foreign stock exchanges that seasonality is present in the times of securities prices.

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  • Jeffrey Jarrett & Eric Kyper, 2005. "Evidence on the seasonality of stock market prices of firms traded on organized markets," Applied Economics Letters, Taylor & Francis Journals, vol. 12(9), pages 537-543.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:9:p:537-543
    DOI: 10.1080/13504850500123288
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    References listed on IDEAS

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    1. Campbell, John Y & Hamao, Yasushi, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
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    3. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    5. Mookerjee, Rajen & Yu, Qiao, 1999. "Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen," Global Finance Journal, Elsevier, vol. 10(1), pages 93-105.
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    Cited by:

    1. Jeffrey Jarrett & Eric Kyper, 2006. "Capital market efficiency and the predictability of daily returns," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 631-636.

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