Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach
Journal Title: Finance a uver - Year 2018, Vol 68, Issue 1
Abstract
This paper simultaneously examines day-of-the-week, turn-of-the-month and pre- and post-holidays calendar effects in traded and non-traded daily period returns in a group of broad-index exchange traded funds (ETFs) that track the major US stock indices (S&P 500, DJIA 30, NASDAQ 100 and Russel 2000 index). Bai and Perron (1998, 2003)’s method is employed to examine stability of the significant calendar effects over time and across ETFs. Results exhibit a high instability of the significant calendar effects over the various regimes up until 2001. From 2001 onwards and until the end of 2013, only a single regime across all ETFs is identified. In this last regime, results point to the disappearance of the previous significant effects across the US equity ETFs group. Unstable observed effects could have been motivated by market-specific conditions in such short time periods. The disappearance of these effects from 2001 onwards are consistent with the nature of this asset class: these ETFs are broadly diversified portfolios with diversification of private information, with higher liquidity and lower transactions cost, which is likely to reduce potential calendar effects.
Authors and Affiliations
João Dionísio Monteiro, José Luis Mirrales-Quirós, José Ramos Pires-Manso
Keywords
Related Articles
- EP ID EP544341
- DOI -
- Views 107
- Downloads 0
Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector
We build a macro stress-testing model for banks’ market and funding liquidity risks with a survival period of one month. The model takes into account the impact of both bank-specific and market-wide scenarios and include...
Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy
We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional mone...
Determinants of Capital Structure: Family Businesses versus Non-Family Firms
The study applies a GMM technique to a panel data sample of 2,093 private Spanish companies, 1,434 of which are family firms to investigate whether or not the capital structure of family business differs from that of non...
Analysis of Variance in Household Financial Portfolio Choice: Evidence from Spain
We analyse the determinants of the household financial portfolio allocation using an estimator and a variance decomposition that take into account the constrained nature of household portfolio allocations. We apply these...
An Empirical Analysis of Welfare Dependence in the Czech Republic
The scope of this paper is to empirically test whether the potential disincentive effects of the Czech social security system affected the labor flows from unemployment to employment over the period 1995–2005. Combining...