Seasonality Estimation in Thin Markets
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- Author(s): MICHAEL THEOBALD, VERA PRICE
- Published: Apr 30, 2012
- Pages: 377-392
- DOI: 10.1111/j.1540-6261.1984.tb02315.x
The greater availability of daily data in the U.S. has led to a number of studies of the seasonality of daily stock (index) returns. While the studies recognized the potential impacts of nontrading and price‐adjustment delays in general, no formal analyses of such impacts were presented; in this paper analytic results are presented for the articulation between these phenomena. The implications of the analysis are discussed and shown to be consistent with a sample of U.K. index data. A modified form of the negative weekend effect is found to be present in the U.K. data analyzed.