New Evidence on the Monday Seasonal in Stock Returns
Author | : Avraham Kamara |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
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Equity derivatives and the institutionalization of equity markets affect the Monday seasonal. The seasonal in the Samp;P 500 declines significantly over 1962-1993. This decline is positively related to the ratio of institutional to individual trading volume. In contrast, the seasonal for small stocks does not decline and is unaffected by institutional versus individual trading. Higher trading costs sustain the seasonal in small stocks, and unlike the Samp;P, these costs are not lower for institutions than for individuals. Samp;P futures minus spot returns exhibit a reverse seasonal. Informed traders use the less costly futures market to exploit the seasonal.