Seasonality and stock returns: some evidence from Japan |
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Authors: | Shigeyuki Hamori |
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Affiliation: | Faculty of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657, Japan |
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Abstract: | This paper examines the seasonal properties of Japanese stock prices using time series data from 1971 through 1997. Of interest are the influences of particular months of the year, which this study measures for the Tokyo stock price index (TOPIX), and indices that represent companies with large, medium, and small numbers of listed shares. The monthly effects in the various stock indices are confirmed for the total sample period. In contrast, such effects are not found for the latter half of the sample, and seasonal unit roots are rejected for all indices. That is, the seasonality of Japanese stock price indices is found to be deterministic but not stochastic. |
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Keywords: | Stock prices Seasonality Seasonal integration |
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