A generalised seasonality test and applications for stock market seasonality. [Working paper]

Shanaev, Savva; Ghimire, Binam

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.

Citation

SHANAEV, S. and GHIMIRE, B. 2020. A generalised seasonality test and applications for stock market seasonality. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3722154

• Working Paper Type: Working Paper
• Deposit Date: Aug 20, 2024
• Publicly Available Date: Aug 20, 2024
• Keywords: Cryptocurrency; Market efficiency; Seasonality; Seasonality test
• Public URL: https://rgu-repository.worktribe.com/output/2439541
• Publisher URL: https://doi.org/10.2139/ssrn.3722154
• Related Public URLs: https://rgu-repository.worktribe.com/output/2078429 (Journal Article)