Publication:
Daily Seasonalities and Stock Market Reforms in Spain

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ISSN: 0960-3107 (print)
ISSN: 1466-4305 (online)
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1995
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Abstract
The effects of Spanish Stock Exchange Reform on the seasonal patterns of daily stock excess returns are addressed. 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.
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Applied financial economics, 1995, vol. 5, nº 6, p. 419-423.