DAILY SEASONALITY IN STOCK RETURNS - FURTHER INTERNATIONAL EVIDENCE

被引：15
|
作者：
PEIRO, A
机构：
[1] Department d'Anàlisi Econòmica, Facultat de Ciències Econòmiquesi Empresarials, Arda, Blasco Ibáñez 30
来源：
ECONOMICS LETTERS | 1994年 / 45卷 / 02期
关键词：
D O I：
10.1016/0165-1765(94)90140-6
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Daily seasonality in stock markets is one of the most intriguing problems in financial economics and a true challenge to the efficiency hypothesis. This paper examines daily seasonality in the New York, Tokyo, London, Frankfurt, Paris and Madrid stock markets in recent years. The results obtained are quite different from the patterns described in existing literature which examines earlier periods.
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页码：227 / 232
页数：6
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