Calendar effects in the London Stock Exchange FT-SE indices

Calendar effects in the London Stock Exchange FT-SE indices

This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE 100, Mid 250 and 350 indices, and the accompanying industry baskets, for the period January 1986 to October 1992. Our results broadly support similar evidence found for many countries concerning...

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Veröffentlicht in:The European journal of finance 1995-03, Vol.1 (1), p.79-93
Hauptverfasser: Mills, Terence C., Andrew Coutts, J.
Format: Artikel
Sprache:eng
Schlagworte:
anomalies
calendar effects
FT-SE indices
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Beschreibung
Zusammenfassung:This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE 100, Mid 250 and 350 indices, and the accompanying industry baskets, for the period January 1986 to October 1992. Our results broadly support similar evidence found for many countries concerning stock market anomalies, for the 'January', 'weekend', 'half of the month' and 'holiday' effects all appear to be present in at least some of the indices.
ISSN:1351-847X
1466-4364
DOI:10.1080/13518479500000010