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    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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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 27 Jul 2020 15:51
    Last Modified: 27 Jul 2020 15:51
    URI: https://eprints.bbk.ac.uk/id/eprint/32690

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