Is there a monthly effect in stock market returns?: Evidence from foreign countries
In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ari...
Gespeichert in:
| Veröffentlicht in: | Journal of banking & finance 1989-05, Vol.13 (2), p.237-244 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 244 |
|---|---|
| container_issue | 2 |
| container_start_page | 237 |
| container_title | Journal of banking & finance |
| container_volume | 13 |
| creator | Jaffe, Jeffrey Westerfield, Randolph |
| description | In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern). |
| doi_str_mv | 10.1016/0378-4266(89)90062-9 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_repec</sourceid><recordid>TN_cdi_proquest_journals_194895837</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>0378426689900629</els_id><sourcerecordid>1153600</sourcerecordid><originalsourceid>FETCH-LOGICAL-e363t-6d065776836bc775f6476ba930609332f4fb15dada4da0a76195fb08da2aa6b13</originalsourceid><addsrcrecordid>eNp1kUlPwzAQhS0EEmX5BxwsuMAh4CXxwgGEEKsqcQDOlpOMqVuaFNut1H-PQxE3LI2fD5_eeOYhdETJOSVUXBAuVVEyIU6VPtOECFboLTSiSrJCcMm20egP2UV7MU5JPoryEXp9ijhNIAC2eN53afK5xuAcNAn7DsfUNzM8t2EGCQdIy9DF60t8t_ItdA1gF_o5dn0A_9Hhpl92KXiIB2jH2c8Ih7-6j97v795uH4vxy8PT7c24AC54KkRLRCWlUFzUjZSVE6UUtdWcCKI5Z650Na1a29qytcRKQXXlaqJay6wVNeX76Hjjuwj91xJiMtM-_zC3NFSXSleKywyd_AsxzajWpRaZet5QARbQmEXweei1AYBp7XxnzcpwS3m-1sNDK53F52K5FoNyaVhZmkmaZ7OrjRnk4VcegomNH_bV-pAXa9reG0rMEJ0ZcjFDLiZb_kRnNP8GDJSK3g</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1292199496</pqid></control><display><type>article</type><title>Is there a monthly effect in stock market returns?: Evidence from foreign countries</title><source>RePEc</source><source>ScienceDirect Journals (5 years ago - present)</source><source>Periodicals Index Online</source><creator>Jaffe, Jeffrey ; Westerfield, Randolph</creator><creatorcontrib>Jaffe, Jeffrey ; Westerfield, Randolph</creatorcontrib><description>In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern).</description><identifier>ISSN: 0378-4266</identifier><identifier>EISSN: 1872-6372</identifier><identifier>DOI: 10.1016/0378-4266(89)90062-9</identifier><identifier>CODEN: JBFIDO</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Effects ; Manycountries ; Monthly ; Pattern ; Regression analysis ; Securities markets ; Statistical analysis ; Stock exchanges ; Stock prices ; Studies</subject><ispartof>Journal of banking & finance, 1989-05, Vol.13 (2), p.237-244</ispartof><rights>1989</rights><rights>Copyright Elsevier Sequoia S.A. May 1989</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/0378426689900629$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3537,3994,27846,27901,27902,65306</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejbfina/v_3a13_3ay_3a1989_3ai_3a2_3ap_3a237-244.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Jaffe, Jeffrey</creatorcontrib><creatorcontrib>Westerfield, Randolph</creatorcontrib><title>Is there a monthly effect in stock market returns?: Evidence from foreign countries</title><title>Journal of banking & finance</title><description>In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern).</description><subject>Effects</subject><subject>Manycountries</subject><subject>Monthly</subject><subject>Pattern</subject><subject>Regression analysis</subject><subject>Securities markets</subject><subject>Statistical analysis</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><subject>Studies</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1989</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>K30</sourceid><recordid>eNp1kUlPwzAQhS0EEmX5BxwsuMAh4CXxwgGEEKsqcQDOlpOMqVuaFNut1H-PQxE3LI2fD5_eeOYhdETJOSVUXBAuVVEyIU6VPtOECFboLTSiSrJCcMm20egP2UV7MU5JPoryEXp9ijhNIAC2eN53afK5xuAcNAn7DsfUNzM8t2EGCQdIy9DF60t8t_ItdA1gF_o5dn0A_9Hhpl92KXiIB2jH2c8Ih7-6j97v795uH4vxy8PT7c24AC54KkRLRCWlUFzUjZSVE6UUtdWcCKI5Z650Na1a29qytcRKQXXlaqJay6wVNeX76Hjjuwj91xJiMtM-_zC3NFSXSleKywyd_AsxzajWpRaZet5QARbQmEXweei1AYBp7XxnzcpwS3m-1sNDK53F52K5FoNyaVhZmkmaZ7OrjRnk4VcegomNH_bV-pAXa9reG0rMEJ0ZcjFDLiZb_kRnNP8GDJSK3g</recordid><startdate>19890501</startdate><enddate>19890501</enddate><creator>Jaffe, Jeffrey</creator><creator>Westerfield, Randolph</creator><general>Elsevier B.V</general><general>Elsevier</general><general>North-Holland Pub. Co</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>JQCIK</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19890501</creationdate><title>Is there a monthly effect in stock market returns?: Evidence from foreign countries</title><author>Jaffe, Jeffrey ; Westerfield, Randolph</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-e363t-6d065776836bc775f6476ba930609332f4fb15dada4da0a76195fb08da2aa6b13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1989</creationdate><topic>Effects</topic><topic>Manycountries</topic><topic>Monthly</topic><topic>Pattern</topic><topic>Regression analysis</topic><topic>Securities markets</topic><topic>Statistical analysis</topic><topic>Stock exchanges</topic><topic>Stock prices</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Jaffe, Jeffrey</creatorcontrib><creatorcontrib>Westerfield, Randolph</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>Periodicals Index Online Segment 33</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Jaffe, Jeffrey</au><au>Westerfield, Randolph</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Is there a monthly effect in stock market returns?: Evidence from foreign countries</atitle><jtitle>Journal of banking & finance</jtitle><date>1989-05-01</date><risdate>1989</risdate><volume>13</volume><issue>2</issue><spage>237</spage><epage>244</epage><pages>237-244</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern).</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0378-4266(89)90062-9</doi><tpages>8</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 1989-05, Vol.13 (2), p.237-244 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_journals_194895837 |
| source | RePEc; ScienceDirect Journals (5 years ago - present); Periodicals Index Online |
| subjects | Effects Manycountries Monthly Pattern Regression analysis Securities markets Statistical analysis Stock exchanges Stock prices Studies |
| title | Is there a monthly effect in stock market returns?: Evidence from foreign countries |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-02T21%3A08%3A05IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_repec&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Is%20there%20a%20monthly%20effect%20in%20stock%20market%20returns?:%20Evidence%20from%20foreign%20countries&rft.jtitle=Journal%20of%20banking%20&%20finance&rft.au=Jaffe,%20Jeffrey&rft.date=1989-05-01&rft.volume=13&rft.issue=2&rft.spage=237&rft.epage=244&rft.pages=237-244&rft.issn=0378-4266&rft.eissn=1872-6372&rft.coden=JBFIDO&rft_id=info:doi/10.1016/0378-4266(89)90062-9&rft_dat=%3Cproquest_repec%3E1153600%3C/proquest_repec%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1292199496&rft_id=info:pmid/&rft_els_id=0378426689900629&rfr_iscdi=true |