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| Author: | Pettengill, G.N. Jordan, B.D. |
| Title: | A comprehensive examination of volume effects and seasonality in daily security returns |
| Journal: | Journal of Financial Research
1988 : SPRING, VOL. 11, No. 1, p.57-70 |
| Index terms: | SECURITIES INVESTMENT SEASONAL FLUCTUATION |
| Language: | eng |
| Abstract: | An examination of the hypothesis that seasonality is associated with changes in relative trading volume, with the development of an integrated model of return seasonality and regularities associated with the turn of the month, the week of the month and holiday closings. Previous studies, data and methodology. The trading day regularity. Trading day returns and the day of the week. A general seasonal model. Volume and seasonality. Causality tests. Five Tables illustrate the study. |
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