haku: @author Wood, B. / yhteensä: 3
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| Tekijä: | Wood, B. |
| Otsikko: | Seasonalities and the 1987 crash: the international evidence |
| Lehti: | International Review of Financial Analysis
1994 : VOL. 3:1, p. 65-91 |
| Asiasana: | FINANCE PLACEMENT INTERNATIONAL |
| Kieli: | eng |
| Tiivistelmä: | This paper examines several seasonal regularities in stock returns before and after the international crash of October 1987. The analysis investigates the day of the week, pre- and post-holiday, turn of the year, turn of the month, and month of the year effects in Pacific Rim and U.S. equity markets. The incidence of return regularities decreases significantly in the period following the crash. The authors posit that an alteration of the returns generating process in these markets is the most likely cause of the change in the trading patterns. |
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