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Details van artikel 7 van 9 gevonden artikelen
| Titel: |
Macroeconomic events and seasonality of risk and returns |
| Auteur: |
Liano, Kartono |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 2 (1992) nr. 4 pagina's 205-209 |
| Jaar: |
1992-12 |
| Inhoud: |
The present study introduces macroeconomic events (such as business cycles) to analyse the seasonality of risk and returns in the Standard and Poor's Composite Index and the NASDAQ Composite Index. The results suggest that seasonality of risk and returns are sensitive to stages of the business cycle. During expansionary periods, the returns on both indexes exhibit a January effect while October has the highest risk. During periods of economic contraction, the returns on the NASDAQ index exhibit an October effect while there is no evidence that the SP index exhibits seasonality of returns. Furthermore, the SP index continues to produce the highest risk in October while the NASDAQ index has the highest risk in March. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 7 van 9 gevonden artikelen
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