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| Volume 1,
No. 1,
April
2002
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| Some International Evidence
on the Seasonality of Stock Prices |
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| Shigeyuki
Hamori and Akira Tokihisa |
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Faculty
of Economics, Kobe University, Japan |
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| Abstract |
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| This
paper performs seasonal integration tests based on stock price
indices for the G7 countries. Nonseasonal unit roots were found in
all countries. This implies that the (1-B)
filter
is all that is needed to obtain the stationarity of stock prices,
and the inclusion of dummy variables is all that is needed to
consider seasonality in stock prices.
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Key words:
seasonal integration; stock prices; monthly effects
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| JEL
classification:
C32; G12 |
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Back |