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http://hdl.handle.net/10016/10735
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| wb9426.pdf | -- 2011-04-13 -- Available on Internet -- preprint | 194,3 kB | Adobe PDF | |  |
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| Title: | Daily seasonality and stock market reforms in Spain |
| Author(s): | Peña Sánchez de Rivera, Juan Ignacio [ypenya] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Economía de la Empresa |
| Issued date: | Jun-1994 |
| URI: | http://hdl.handle.net/10016/10735 |
| Abstract: | This paper addresses the consequences of Spanish Stock Exchange Reform on the seasonal patterns of daily asset excess returns. Before the Reform, positive abnormal average Monday excess returns are found. Possible causes are discussed and related with clearing and trading mechanisms. After the Reform daily seasonal effects disappear, suggesting an increase in the market's operational efficiency. |
| Serie / Nº.: | UC3M Working papers. Business Economics
9426 |
| Other version: | http://e-archivo.uc3m.es/handle/10016/7123 |
| Keywords: | Daily seasonalities
Market efficiency |
| Appears in Collections: | Economists Online
DEE - Working Papers. Business Economics. WB
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