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

Sanusi, Muhammad Surajo; Ahmad, Farooq

Authors

Muhammad Surajo Sanusi

Farooq Ahmad



Abstract

This paper investigates the existence of seasonality anomalies in the stock returns of the oil and gas companies on the London Stock Exchange. It employs F-test, Kruskal-Wallis and Tukey tests to examine days-of-the-week effect. Generalised autoregressive conditional heteroscedasticity specification was also employed to investigate both the days-of-the-week and months-of-the-year effects. The analysis had been extended to some key FTSE indices. Our results showed no evidence of any regularity or seasonal fluctuation in the oil and gas stock returns despite the seasonal changes of demand in the companies’ products. However, January effect has been observed in FTSE All Share and FTSE 100 indices.

Citation

SANUSI, M.S. and AHMAD, F 2016. An analysis of seasonality fluctuations in the oil and gas stock returns. Cogent economics and finance [online], 4(1), 1128133. Available from: https://doi.org/10.1080/23322039.2015.1128133

Journal Article Type Article
Acceptance Date Nov 26, 2015
Online Publication Date Jan 4, 2016
Publication Date Dec 31, 2016
Deposit Date Jun 2, 2016
Publicly Available Date Jun 2, 2016
Journal Cogent economics and finance
Electronic ISSN 2332-2039
Publisher Cogent OA
Peer Reviewed Peer Reviewed
Volume 4
Issue 1
Article Number 1128133
DOI https://doi.org/10.1080/23322039.2015.1128133
Keywords Seasonality; Oil and gas stock returns; Days of the week effect; Months of the year effect; January effect; London Stock Exchange
Public URL http://hdl.handle.net/10059/1501

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