Kégl, Virág and Petróczy, Dóra Gréta (2024) The Effect of Seasonal Depression on Stock Market Returns. FINANCIAL AND ECONOMIC REVIEW, 23 (3). pp. 117-139. ISSN 2415-9271
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Abstract
The study analyses the statistical relationship between the degree of seasonal depression and stock index returns. For this analysis, we examine the daily returns of two US and five European stock indices using OLS regression. The analysis found a statistically significant relationship between seasonal depression and the change in returns. However, due to the limited use of the reduced form, this only confirms the link between seasonal depression and returns, and further observations would be required to confirm a causal relationship.
| Item Type: | Article |
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| Uncontrolled Keywords: | investor sentiment, seasonal depression, stock indices, stock market returns |
| Subjects: | H Social Sciences / társadalomtudományok > HG Finance / pénzügy |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 28 Oct 2024 08:42 |
| Last Modified: | 28 Oct 2024 08:42 |
| URI: | https://real.mtak.hu/id/eprint/208000 |
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