2,130
Views
1
CrossRef citations to date
0
Altmetric
Research Article

An analysis of seasonality fluctuations in the oil and gas stock returns

& | (Reviewing Editor)
Article: 1128133 | Received 07 Oct 2015, Accepted 26 Nov 2015, Published online: 04 Jan 2016

References

  • Al Ashikh, A. I. (2012). Testing the weak-form of efficient market hypothesis and the day-of-the-week effect in Saudi stock exchange: Linear approach. International Review of Business Research Papers, 8, 27–54.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
  • Chang, E. C., Pinegar, J. M., & Ravichandran, R. (1993). International evidence on the robustness of the day-of-the-week effect. Journal of Financial & Quantitative Analysis, 28, 497–513.
  • Chien, C., Lee, C., & Wang, A. M. L. (2002). A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model. The Quarterly Review of Economics and Finance, 42, 155–162.10.1016/S1062-9769(00)00081-8
  • Clare, A. D., Psaradakis, Z., & Thomas, S. H. (1995). An analysis of seasonality in the UK equity market. The Economic Journal, 398–409.10.2307/2235499
  • Dicle, M., & Levendis, J. (2014). The day-of-the-week effect revisited: International evidence. Journal of Economics & Finance, 38, 407–437.
  • Dubois, M., & Louvet, P. (1996). The day-of-the-week effect: The international evidence. Journal of Banking & Finance, 20, 1463–1484.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50, 987–1007.
  • Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38, 34–105.10.1086/jb.1965.38.issue-1
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 383–417.
  • Franses, P. H. (1993). A model selection procedure for time series with seasonality. Statistics & Probability Letters, 16, 253–258.
  • Guidi, F. (2010). Day-of-the-week effect and market efficiency in the Italian stock market: An empirical analysis. IUP Journal of Applied Finance, 16, 5–32.
  • Haroon, M. A., & Shah, N. (2013). Investigating day-of-the-week effect in stock returns: Evidence from Karachi stock exchange—Pakistan. Pakistan Journal of Commerce & Social Sciences, 7, 381–393.
  • Haugen, R. A., & Lakonishok, J. (1988). The incredible January effect: The stock market’s unsolved mystery. Homewood, IL: Dow Jones-Irwin.
  • Jaffe, J., & Westerfield, R. (1985). The week-end effect in common stock returns: The international evidence. The Journal of Finance, 40, 433–454.10.1111/j.1540-6261.1985.tb04966.x
  • Mandelbrot, B. (1966). Forecasts of future prices, unbiased markets, and “Martingale” models. The Journal of Business, 39, 242–255.10.1086/jb.1966.39.issue-S1
  • Mookerjee, R., & Yu, Q. (1999). Seasonality in returns on the Chinese stock markets. Global Finance Journal, 10, 93–105.10.1016/S1044-0283(99)00008-3
  • Ogieva, O. F., Osamwonyi, I. O., & Idolor, E. J. (2013). Testing calendar effect on Nigerian stock market returns: Methodological approach. Journal of Financial Management & Analysis, 26, 39–64.
  • Qadan, M. (2013). The impact of the day-of-the-week on the VIX fear gauge. International Journal of Economic Perspectives, 7, 24–31.
  • Solnik, B., & Bousquet, L. (1990). Day-of-the-week effect on the Paris bourse. Journal of Banking & Finance, 14, 461–468.
  • Steeley, J. M. (2001). A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking & Finance, 25, 1941–1956.
  • Yadav, P. K., & Pope, P. F. (1992). Intraweek and intraday seasonalities in stock market risk premia: Cash and futures. Journal of Banking & Finance, 16, 233–270.