A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS
作者:
Glenn N. Pettengill,
Bradford D. Jordan,
期刊:
Journal of Financial Research
(WILEY Available online 1988)
卷期:
Volume 11,
issue 1
页码: 57-70
ISSN:0270-2592
年代: 1988
DOI:10.1111/j.1475-6803.1988.tb00066.x
数据来源: WILEY
摘要:
AbstractIn this study, an integrated model of return seasonality is developed and the hypothesis that seasonality is associated with changes in relative trading volume is examined. Return regularities associated with the turn of the month, the week of the month, and holiday closings are documented. Beyond these effects, neither the turn of the year nor the January effect is significant for large firms. Relative volume is shown to display calendar regularities similar to those in returns, and tests indicate a causal relationship flowing from volume to returns.
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