search query: @indexterm seasonal fluctuation / total: 63
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| Author: | Chaudhury, M. M. |
| Title: | Seasonal variations in the U.S. stock market returns: 1927-1984 |
| Journal: | Review of Quantitative Finance and Accounting
1994 : VOL. 4:4, p. 321-337 |
| Index terms: | STOCK MARKETS SEASONAL FLUCTUATION WALL STREET |
| Language: | eng |
| Abstract: | When the seasonal components of the monthly returns as opposed to the returns themselves, are examined over the 1927-1984 period, the Standard & Poor's 500 Composite Index (S&P 500) and the Center for Research in Security Prices (CRSP) value-weighted portfolio exhibit significant seasonality. Their seasonal behavior is quite similar to that of the smallest quintile of New York Stock Exchange (NYSE) stocks and the CRSP equally weighted portfolio during March through October. While January is strong for the two latter portfolios, December, November, and January appear to be consistently strong for the two former portfolios. The seasonal pattern has, however, changed substantially over time. |
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