A Generalised Seasonality Test and Applications for Stock Market Seasonality

14 Pages Posted: 11 Dec 2020

See all articles by Savva Shanaev

Savva Shanaev

University of Northumbria at Newcastle

Binam Ghimire

University of Northumbria at Newcastle

Date Written: September 15, 2020

Abstract

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows both to test for existence of any seasonal patterns against the broad null hypothesis of no seasonality and to isolate most prominent seasonal cycles while using harmonic mean p-values to control for multiple testing. The proposed test has numerous applications in time series analysis. As an example, it is applied to identify seasonal patterns in 76 national stock markets to detect trading cycles, determine their length, and test the weak-form efficient market hypothesis.

Keywords: seasonality, seasonality test, market efficiency, return seasonality

JEL Classification: C22, C58, G14

Suggested Citation

Shanaev, Savva and Ghimire, Binam, A Generalised Seasonality Test and Applications for Stock Market Seasonality (September 15, 2020). Available at SSRN: https://ssrn.com/abstract=3722154 or http://dx.doi.org/10.2139/ssrn.3722154

Savva Shanaev (Contact Author)

University of Northumbria at Newcastle ( email )

Pandon Building
208, City Campus East-1
Newcastle-Upon-Tyne, Newcastle NE1 8ST
United Kingdom

Binam Ghimire

University of Northumbria at Newcastle ( email )

Pandon Building
208, City Campus East-1
Newcastle-Upon-Tyne, Newcastle NE1 8ST
United Kingdom

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