The Information Cycle and Return Seasonality

2020 ◽  
Author(s):  
Haoyuan Li ◽  
Roger Loh
Keyword(s):  
Return Seasonality

scholarly journals Risk-Adjusted Seasonality in Muslim Frontier Stock Markets

2021 ◽  
Author(s):  
Faheem Aslam ◽  
Ahmed Imran Hunjra ◽  
Tahar Tayachi ◽  
Peter Verhoeven ◽  
Yasir Tariq
Keyword(s):  
Stock Markets ◽  
Systematic Risk ◽  
Time Varying ◽  
Bonferroni Correction ◽  
Market Portfolio ◽  
Stock Indices ◽  
Lunar Calendar ◽  
Investment Opportunities ◽  
Day Of The Week ◽  
Return Seasonality

<p>We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. </p> Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. This study contributes to the existing literature by documenting evidence of the presence of both day-of-the-week and month-of-the-year return seasonality both for the Gregorian and Islamic calendar for frontier markets.

An Empirical Investigation Of The Persistence Of Stock And Bond Return Seasonality

2011 ◽  
Vol 16 (2) ◽  
Author(s):  
Angeline M. Lavin
Keyword(s):  
Stock Returns ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Average Return ◽  
Bond Returns ◽  
Bond Return ◽  
The Government ◽  
Using Data ◽  
Return Seasonality

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;CG Times&quot;,&quot;serif&quot;;"><span style="font-size: x-small;">The purpose of this paper is to investigate the persistence of seasonality in stock and bond returns using data from 1926 to 1992. This study finds evidence of seasonality in stock returns during the 1926-92 period.<span style="mso-spacerun: yes;">&nbsp; </span>Dividing the data into sub-periods yields the following results: there was no evidence of stock market seasonality from 1926 to 1940, seasonality increased between 1941 and 1975 and then diminished slightly from 1976 to 1992. Specifically, the average January return was found to be significantly different than the average return in the other eleven months of the year.<span style="mso-spacerun: yes;">&nbsp; </span>Seasonality was found in the high-quality end of the corporate bond market during the 1966-78 period, but there was no evidence of seasonality in the government bond market. </span></span></p>

Sign in / Sign up

Export Citation Format

Share Document