A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS

A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS

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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: ,
Keywords: investment
Abstract:

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.

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