AN ANALYSIS OF SEASONALITY IN THE UK EQUITY MARKET

• 成果类型: Article
• 署名作者: CLARE, AD; PSARADAKIS, Z; THOMAS, SH
• 署名单位: Swansea University; University of Bristol
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.2307/2235499
• 发表日期: 1995
• 页码: 398-409
• 关键词: time-series; january; return; heteroskedasticity; root

摘要

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.