Article ID: | iaor201522923 |
Volume: | 11 |
Issue: | 1 |
Start Page Number: | 57 |
End Page Number: | 70 |
Publication Date: | Mar 1988 |
Journal: | Journal of Financial Research |
Authors: | Jordan Bradford D, Pettengill Glenn N |
Keywords: | investment |
In this study, an integrated model of return seasonality is developed and the hypothesis that seasonality is associated with changes in relative trading volume is examined. Return regularities associated with the turn of the month, the week of the month, and holiday closings are documented. Beyond these effects, neither the turn of the year nor the January effect is significant for large firms. Relative volume is shown to display calendar regularities similar to those in returns, and tests indicate a causal relationship flowing from volume to returns.