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

Sanusi, Muhammad Surajo; Ahmad, Farooq

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