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An Analysis of Seasonality in the U.K. Equity Market

Andrew D. Clare, Zacharias Psaradakis and Stephen H. Thomas
The Economic Journal
Vol. 105, No. 429 (Mar., 1995), pp. 398-409
Published by: Wiley on behalf of the Royal Economic Society
DOI: 10.2307/2235499
Stable URL: http://www.jstor.org/stable/2235499
Page Count: 12
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Analysis of Seasonality in the U.K. Equity Market
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Abstract

This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk.

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