An analysis of seasonality in the U.K. equity market

Clare, A. and Psaradakis, Zacharias and Thomas, S. (1995) An analysis of seasonality in the U.K. equity market. Economic Journal 105 (429), pp. 398-409. ISSN 0013-0133.

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Official URL: https://doi.org/10.2307/2235499

Abstract

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.

Metadata

Item Type:	Article
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Depositing User:	Sarah Hall
Date Deposited:	27 Jul 2020 15:51
Last Modified:	02 Aug 2023 18:01
URI:	https://eprints.bbk.ac.uk/id/eprint/32690

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