An Analysis of Seasonality in the U.K. Equity Market
Datos Bibliográficos
| ID | 9716167 |
|---|---|
| Autores | Andrew D Clare, Andrew Clare (0000-0002-4180-6778, Brunel University of London), Zacharias Psaradakis (0000-0001-9417-4156, University of Bristol), Stephen Thomas (0000-0001-9306-0114), Stephen H Thomas (0000-0001-6416-6462) |
| Año | 1995 |
| Volumen | 105 |
| Número | 429 |
| Páginas | 398 |
| Fecha de publicación | 1995-03-01 |
| Peer Reviewed | Sí |
| Open Access | No |
| Tipo | ARTICLE |
| Revista | The Economic Journal (JOURNAL) |
| Identificadores de la revista | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Editorial | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.2307/2235499 |
| OpenAlex | W2073009763 |
| Idioma | EN |
| Citas recibidas | 2 |
| Referencias citadas | 8 |
This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk
Econometrics · Economics · Equity (law · Financial economics · Political science · Proxy (statistics · Seasonality · Statistics · Financial Markets and Investment Strategies · Housing Market and Economics · Mathematics · Monetary Policy and Economic Impact
The relationship between return and market value of common stocks
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Seasonal integration and cointegration
Testing for a unit root in time series regression
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns
| Obras citantes distintas | 2 |
|---|---|
| Citas por año | 0,07 |
| Intervalo de citas | 1997 - 2000 (4) |
| Velocidad de citación | historical |
| Altamente citado | No |
| Tipos de cita | Neutras: 2 |