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Seasonality as an unobservable component: the case of Kuwait stock market

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  • Talla Al-Deehani

Abstract

This paper uses structural time series methodology to investigate seasonality factors for the returns of Kuwait stock market and its various sectors. The results indicate the existence of positive pre-summer seasonal factors for the market and most of the sectors, which can be explained by the summer holiday effect. Significant seasonal factors are found to be stochastic rather than deterministic, which cannot be handled by traditional time series models that assume deterministic seasonality.

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  • Talla Al-Deehani, 2006. "Seasonality as an unobservable component: the case of Kuwait stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 471-478.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:471-478
    DOI: 10.1080/09603100500414636
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    References listed on IDEAS

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    Cited by:

    1. George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
    2. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.

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