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- W2743247773 abstract "Seasonality in stock index returns comes in many forms, some of which includes the Halloween effect and the seasonal affective disorder (SAD) effect. On top of these two effects, various other factors analyzed by previous literatures also comes into play, mainly those from the papers by Jacobsen & Zhang (2013) and Kamstra et al. (2008). This paper analyzes seasonality in stock index returns based on these two literatures, and includes further extensions on this topic by including a new seasonal variable of specific options expiration days as well as the use of panel regression on 15 different indices. Our findings shows significance in these seasonal variables, although it widely varies between indices. Based on these results, a simple trading strategy is then constructed in order to utilize these effects to our advantage." @default.
- W2743247773 created "2017-08-17" @default.
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- W2743247773 date "2017-07-27" @default.
- W2743247773 modified "2023-09-27" @default.
- W2743247773 title "Seasonality Presence in Global Stock Index Returns" @default.
- W2743247773 hasPublicationYear "2017" @default.
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