search query: @freeterm seasonality / total: 5
reference: 4 / 5
| Author: | Smith, K.L. |
| Title: | Government bond market seasonality, diversification, and cointegration: international evidence |
| Journal: | Journal of Financial Research
2002 : SUMMER, VOL. 25:2, p. 203-221 |
| Index terms: | COINTEGRATION DIVERSIFICATION GOVERNMENT BONDS INTERNATIONAL |
| Freeterms: | SEASONALITY |
| Language: | eng |
| Abstract: | Using government bond market data for the United States, Canada, the United Kingdom, Germany, France and Japan, the author investigates several hypotheses. Market efficiency is investigated by testing for seasonality and cointegration. The seasonality results are mixed. In regression tests, a January effect is detected in several markets (USA, Germany, France, UK and Canada) using local currencies. |
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