Seasonality in Outliers of Daily Stock Returns: A Tail that Wags the Dog?

15 Pages Posted: 19 Aug 2003

See all articles by Dan Galai

Dan Galai

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Haim Kedar-Levy

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management

Ben Z. Schreiber

Bank of Israel; Bar Ilan University

Date Written: May 2005

Abstract

We document significant intra-year and less significant intra-week seasonality in outliers of S&P500 daily returns. Controlling for outliers in dummy regressions reveals that 1) Monday's mean returns turn from insignificantly to significantly positive and insignificantly higher than all weekdays; 2) January return doubles and turns significantly higher than all other months while June, August, and September turn out to be months with remarkably low rates of returns; 3) the recently documented Halloween effect turns significant only after controlling for outliers. Our findings indicate that while outliers cannot be instrumental variables, they severely affect empirical measures of seasonal anomalies documented in the literature.

Keywords: Outliers, Monday Effect, January Effect, Halloween Effect, Month-of-the-Year

JEL Classification: G10, G14

Suggested Citation

Galai, Dan and Kedar-Levy, Haim and Schreiber, Ben Z., Seasonality in Outliers of Daily Stock Returns: A Tail that Wags the Dog? (May 2005). Available at SSRN: https://ssrn.com/abstract=426080 or http://dx.doi.org/10.2139/ssrn.426080

Dan Galai (Contact Author)

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel
972 2 5883235 (Phone)
972 2 5881341 (Fax)

Haim Kedar-Levy

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management ( email )

P.O. Box 653
Beer-Sheva 84105
Israel
(972) 8 6472569 (Phone)
(972) 8 6477697 (Fax)

Ben Z. Schreiber

Bank of Israel ( email )

P.O. Box 780
Jerusalem 91007
Israel
972-2-6552595 (Phone)
972-2-6512026 (Fax)

Bar Ilan University ( email )

Ramat Gan, 55000
Israel

Register to save articles to
your library

Register

Paper statistics

Downloads
371
Abstract Views
1,808
rank
82,039
PlumX Metrics