Relevant bibliographies by topics / Seasonalities

Academic literature on the topic 'Seasonalities'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Seasonalities"

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KELOHARJU, MATTI, JUHANI T. LINNAINMAA, and PETER NYBERG. "Return Seasonalities." Journal of Finance 71, no. 4 (July 13, 2016): 1557–90. http://dx.doi.org/10.1111/jofi.12398.

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Chari, V. V., Ravi Jagannathan, and Aharon R. Ofer. "Seasonalities in security returns." Journal of Financial Economics 21, no. 1 (May 1988): 101–21. http://dx.doi.org/10.1016/0304-405x(88)90033-5.

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Peterson, David R. "Stock Return Seasonalities and Earnings Information." Journal of Financial and Quantitative Analysis 25, no. 2 (June 1990): 187. http://dx.doi.org/10.2307/2330823.

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GARCIA BLANDON, JOSE. "RETURN'S SEASONALITIES IN THE LATIBEX MARKET." Revista de análisis económico 25, no. 1 (June 2010): 3–14. http://dx.doi.org/10.4067/s0718-88702010000100001.

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Alford, Alan, and Daryl M. Guffey. "A re-examination of international seasonalities." Review of Financial Economics 5, no. 1 (December 1996): 1–17. http://dx.doi.org/10.1016/s1058-3300(96)90002-6.

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Ballocchi, Giuseppe, Michael Dacorogna, Ramazan Gençay, and Barbara Piccinato. "Time-to-Expiry Seasonalities in Eurofutures." Studies in Nonlinear Dynamics and Econometrics 4, no. 4 (December 1, 2000): 227–32. http://dx.doi.org/10.1162/108118200753392136.

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Harju, Kari, and Syed Mujahid Hussain. "Intraday Seasonalities and Macroeconomic News Announcements." European Financial Management 17, no. 2 (August 20, 2009): 367–90. http://dx.doi.org/10.1111/j.1468-036x.2009.00512.x.

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Hofmann, Daniel, and Karl Ludwig Keiber. "Seasonalities in the German stock market." Financial Markets and Portfolio Management 35, no. 2 (January 24, 2021): 151–92. http://dx.doi.org/10.1007/s11408-020-00373-1.

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AbstractThis paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study of the German stock market, we report that these long–short investment strategies earn on average raw returns up to 233 basis points per month throughout two decades from 1998 to 2017. On a monthly basis, this documents an outperformance of the corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 2008) strategy by 66%. This outperformance is robust in magnitude even after adjusting for common risk factors along both the three-factor Fama and French (J Financ Econ 33(1):3–56, 1993) model and the four-factor Carhart (J Finance 52(1):57–82, 1997) model. Categorizing stocks into three risk profiles lets us conclude that long–short momentum portfolios of stocks with a low-risk profile generate robust investment performance.
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Gençay, Ramazan, Faruk Selçuk, and Brandon Whitcher. "Differentiating intraday seasonalities through wavelet multi-scaling." Physica A: Statistical Mechanics and its Applications 289, no. 3-4 (January 2001): 543–56. http://dx.doi.org/10.1016/s0378-4371(00)00463-5.

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Ho, Yan-Ki. "Stock Return Seasonalities in Asia Pacific Markets." Journal of International Financial Management & Accounting 2, no. 1 (March 1990): 47–77. http://dx.doi.org/10.1111/j.1467-646x.1990.tb00017.x.

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Dissertations / Theses on the topic "Seasonalities"

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Li, Ya. "An empirical analysis of factor seasonalities." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/421.

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I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatly disappear after I eliminate their exposures to the corresponding risk factors. Overall, 76.17% of the returns on 235 test equal-weighted portfolios I examine contain seasonality. My key finding is that 48.68% of equal-weighted portfolio returns with seasonalities no longer contain seasonality after I control for their exposures to all risk factors. Only 52.08% of the equal-weighted portfolio Fama-French five-factor model residual obtain substantial seasonal patterns in the Wald test. Regarding to seasonalities in risk factors, specific seasonal patterns include the January effect, higher returns during February, March, and July, and autocorrelations at irregular lags. The Wald test, a stable seasonality test, the Kruskal-Wallis chi-square test, a combined seasonality test, Fisher's Kappa test, and Bartlett's Kolmogorov-Smirnov test are used to identify the seasonal patterns in individual risk factors. Fama-French SMB (the size factor) and HML (the value factor) in the three-factor model, Fama-French RMW (the operating profitability factor) in the five-factor model, earnings/price, cash flow/price, momentum, short-term reversal, long-term reversal, daily variance, daily residual variance, growth rate of industrial production (value-weighted), term premium (equal-weighted and value-weighted), and profitability display robust seasonalities. Therefore, the first part of the research confirms that risk factors possess substantial seasonal patterns.
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Hetting, Oscar, Joakim Hellman, and Maryam Tarighi. "Capitalizing on seasonalities in the Singapore Straits Times Index." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18167.

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Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies.  Background: A number of previous studies have found evidence of seasonal anomalies in global stock markets, and by challenging the core assumptions of market efficiency, such anomalies may make it possible to predict the movement of stock prices at certain periods during the year. Consequently, there may be substantial profit-making opportunities that clever investors can benefit from, raising two important questions: (1) can such anomalies be strategically used to outperform the market and (2) why do such cyclical return patterns exist? Method: Daily closing prices from the Singapore Straits Times Index (STI) are used to compute average daily and monthly returns, which are further analysed through the use of statistical significance analysis and hypothesis testing to identify the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market.  The results of the statistical investigation are used to develop investment strategies that are designed to take advantage of both positive and negative effects, and the theories of behavioural finance are applied to help explain why seasonalities occur at certain points in time. Conclusions: This study finds evidence of several seasonal anomalies in the Singapore stock market. Both day-of-the-week effects and month-of-the-year effects are present in the STI over the full sample period. Many of these effects can be explained by behavioural finance, and used to develop investment strategies that outperform the market.
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Thomas, Stuart John, and stuart thomas@rmit edu au. "Modelling Commodity Prices in The Australian National Electricity Market." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080528.160806.

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Beginning in the early 1990s several countries, including Australia, have pursued programs of deregulation and restructuring of their electricity supply industries. Dissatisfaction with state-run monopoly suppliers and a desire for increased competition and choice for consumers have been the major motivations for reform. In Australia, the historical, vertically-integrated, government-owned electricity authorities were separated into separate generation, transmission, distribution and retail sectors in each State and a competitive, wholesale market for electricity, the National Electricity Market (NEM) began operation in December 1998. The goal of deregulation was (and remains) increased competition in electricity supply, so that consumers may enjoy wider choice and lower prices. The first benefit has largely been delivered but it is arguable whether the second benefit of lower prices has been realised. Increased competition has come at the price of increased wholesale price volatility, which brings with it increased cost as market participants seek to trade profitably and manage the increase in price risk. In the NEM, generators compete to sell into a pool market and distributors purchase electricity from the pool at prices determined by demand and supply, on a half-hourly basis. These market-clearing prices can be extremely volatile. Electricity prices are generally characterised by significant seasonal patterns, on an intra-day, weekly and monthly basis, as demand and supply conditions vary. Prices are also characterised by strong mean-reversion and extremely high spikes in price. While long-run mean prices typically range between $30 and $45 per megawatt hour, prices can spike to levels above $9,000 or $10,000 per megawatt hour from time to time. These spikes tend to be sporadic and very short-lived, rarely lasting for more than an hour or two. Although infrequent, spikes are the major contributor to price volatility and their evolution and causes need to be investigated and understood. The purpose of this thesis is to investigate and model Australian electricity prices. The research work presented is mostly empirical, with the early analytical chapters focusing on investigating the presence and significance of seasonal factors and spikes in electricity price and demand. In subsequent chapters this work is extended into analysis of the underlying volatility processes and the interaction between extreme values in demand and price is specifically investigated. The findings of the thesis are that while the characteristics of strong seasonal patterns and spikes that are generally observed in similar electricity markets are present in the NEM in both price and demand, there is significant variation in their presence and effect between the regional pools. The study also finds that while time-varying volatility is evident in the price series there is again some variation in the way this is characterised between states. A further finding challenges the accepted wisdom that demand peaks drive price spikes at the extremes and shows empirically that price spikes are more likely to be caused by supply disruptions than extremes of demand. The findings provide useful insight into this highly idiosyncratic but economically important national market.
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Corhay, A. H. "Return seasonalities and systematic risk estimation on the Brussels stock exchange option pricing models." Thesis, University of Cambridge, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.598000.

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This doctoral dissertation consists of five essays related to two fields in financial economics which have been receiving a considerable interest from the academic community: stock market anomalies and option pricing. The first three essays deal with return seasonalities and systematic risk estimation. All three are empirical studies, and the data they use come from the equity markets of the Brussels Stock Exchange. The first essay is devoted to the study of the daily seasonalities in the rates of return. This reveals both a persistent lower return on Tuesday explained neither by various adjustments for the measurement errors nor by a relationship with other seasonal anomalies, and a seasonal pattern in the returns related to the settlement process of the forward market. The second essay examines some properties of market index returns and how their specification affects the security measure of systematic risk. It also demonstrates that the estimate of the systematic risk depends on both the choice of an index and the length of the differencing interval used to measure the returns. Finally, the third essay which tests adjustment procedures for this 'lq intervalling effect on the systematic risk reveals that the inferred asymptotic beta procedure is useful for a one day differencing interval and for a value weighted market index only. The last two essays are theoretical essays on the subject of option pricing. The first one presents simple models in both discrete and continuous time for valuing options on assets whose returns follow an additive process rather than a multiplicative process, as it is assumed, for example, in Cox, Ross and Rubinstein's model. As to the second essay, it demonstrates that a two-state option process can be the starting point of the derivation of any option pricing model. To derive an option pricing model, one needs to define the distribution function of the underlying asset price, and then to represent it with a binomial process with the same mean and variance.
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Corhay, Albert H. "Essays in financial economics : return seasonalities and systematic risk estimation on the Brussels stock exchange; option pricing models." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.335716.

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Paradzik, Ivona, and Jasmin Lappalainen. "Utvecklingen av destination Gotland : en kvalitativ studie om destinationsutveckling av Gotlands lågsäsongsturism." Thesis, Södertörns högskola, Turismvetenskap, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-38723.

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The purpose of this study has been to research how the low season affects tourism and how destination development is taken care of on the island of Gotland in Sweden. Gotland is a very popular travel destination during the busy summer months June, July and August, but the authors of this study felt that it would be interesting to investigate what happens with the tourism business during the rest of the year on the island. With the help of qualitative methods such as interviews with the local people, stakeholders, and observations made in the capital of Gotland Visby, the authors have gathered data to be analyzed and presented in this paper. The authors had the privilege to interview two tourism managers from Destination Gotland and Region Gotland, who provided important information for the study. To be able to find out how different aspects of destination development of low season tourism are taken to account, the authors prepared an interview guide for every specific interview, to match the topics discussed with the informants. It was important to the authors to fully engage to this study, so travelling to Visby and observe the island was a natural choice. This excursion gave the authors the possibility to discover the island not only from an academic perspective but also from a touristic one.
Syftet med denna kandidatuppsats har varit att undersöka hur lågsäsongen påverkar turismen och destinationsutvecklingen på ön Gotland. Gotland är ett mycket populärt resmål under sommarmånaderna juni, juli och augusti, men skribenterna av denna uppsats upplevde att det var av intresse att undersöka vad som sker inom turismen på ön under resterande delar av året. Med hjälp av kvalitativa metoder som intervjuer med lokalbefolkning och aktörer, men även observationer gjorda i residensstaden Visby har skribenterna samlat data som kommer att analyseras och presenteras i denna uppsats. Skribenterna fick även äran att intervjua två turistchefer från Destination Gotland och Region Gotland som bidrog med viktig information till undersökningen. För att kunna ta reda på hur olika aspekter inom destinationsutveckling av lågsäsongturism behandlas, har skribenterna utvecklat en intervjuguide för varje specifik intervju i syfte att stämma överens med temat som diskuterats med informanterna. Det var av vikt för skribenterna att fullständigt engagera sig i studien, vilket innebar att en resa till Visby på Gotland var ett naturligt val. Denna resa bidrog till att skribenterna fick möjligheten att upptäcka ön, inte endast från ett akademiskt perspektiv, men även från ett turistperspektiv.
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Yang, Jia-Qi, and 楊嘉祺. "An Analysis of Stock Return Seasonalities in Mainland China." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/7sj4x3.

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碩士
國立臺灣大學
財務金融學研究所
106
Seasonality is an important issue in market efficiency research. Recently, researchers have studied seasonalities based on the US stock market, presenting theories to explain the source and the formation mechanism of seasonalities. This dissertation examines the stock return seasonalities in Mainland China by mimicking risk premium factor seasonalities with seasonal long-short strategies. The empirical results show that return seasonalities exists in Mainland China; seasonal long-short strategies based on same-month and other-month historical returns earn positive monthly returns on average. In addition, the seasonal effects are not concentrated in January. This dissertation also finds that individual stock return seasonalities are influenced by seasonalities from size and momentum factors in Mainland China, which explain individual stock return seasonalities moderately. In general, the evidence from Mainland China stock market supports the theory that individual stock return seasonalities are derived from the aggregation of risk premium factor seasonalities, while the specific factors are different from the US market.
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Books on the topic "Seasonalities"

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Mitchell, Jason D. Seasonalities in China's stock markets: Cultural or structural? [Washington, D.C.]: International Monetary Fund, Monetary and Financial Systems Dept., 2006.

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Dahlquist, Magnus. Seasonalities in Swedish stock returns: Why are they not arbitraged away? Stockholm: Stockholm University, Institute for International Economic Studies, 1995.

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Fountas, Stilianos. Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis. [Galway]: Department of Economics, National University of Ireland, Galway, 1999.

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Fountas, Stilianos. Eme rging stock markets return seasonalities: the January selling effect and the tax-loss selling hypothesis. Galway: Department of Economics, University College Galway, 1999.

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Book chapters on the topic "Seasonalities"

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Theuer, Hanna. "Dealing with Seasonalities - An Observation of Different Branches in a Seasonal Environment." In Enabling Manufacturing Competitiveness and Economic Sustainability, 407–12. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02054-9_69.

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"Seasonally Anomalous or Not? Tests of Seasonalities." In The Efficiency of China's Stock Market, 145–80. Routledge, 2017. http://dx.doi.org/10.4324/9781351146920-15.

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Pınarbaşı, Fatih, and Habib Mehmet Akpınar. "E-Trading Decision Making." In Tools and Techniques for Implementing International E-Trading Tactics for Competitive Advantage, 184–202. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0035-4.ch009.

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Electronic trade has a key role for today's companies with help of technology affecting marketing environment. The emergence of the Internet has led to huge changes in both the production and strategy channels and the consumer's purchasing process. Previous studies from different contexts examine electronic trade focusing on different aspects on concept. An integrative approach combining theory with cases can help to a better understanding of electronic trade and competitive markets. This study aims to examine electronic trading decision making with digital marketing approach. The study identifies a three-step marketing plan for competitive advantage about electronic trading. First step includes identifying standards, seasonalities, and anomalies related to market. Second step continues with further evaluation of market environment by including sentiment analysis and network analysis cases. Third step goes further with predicting cases by focusing on future. The study also contains solutions and recommendations, future research directions, and conclusion sections.
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Conference papers on the topic "Seasonalities"

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Elias, R. S., Liping Fang, and M. I. M. Wahab. "Electricity load forecasting based on weather variables and seasonalities: A neural network approach." In 2011 8th International Conference on Service Systems and Service Management (ICSSSM 2011). IEEE, 2011. http://dx.doi.org/10.1109/icsssm.2011.5959472.

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Reports on the topic "Seasonalities"

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Keloharju, Matti, Juhani Linnainmaa, and Peter Nyberg. Common Factors in Return Seasonalities. Cambridge, MA: National Bureau of Economic Research, December 2014. http://dx.doi.org/10.3386/w20815.

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Hirshleifer, David, Danling Jiang, and Yuting Meng. Mood Betas and Seasonalities in Stock Returns. Cambridge, MA: National Bureau of Economic Research, June 2018. http://dx.doi.org/10.3386/w24676.

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You might also be interested in the extended bibliographies on the topic 'Seasonalities' for particular source types:
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