Managerial Finance · 1998 · 10 citations · 13 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsInvestment ManagementBusiness CyclesCapital MarketsInvestmentSeasonal Working Capital NeedsSeasonality In Commodity PricesStock MarketsInvestment OpportunitiesReturn SeasonalitySeasonal Arbitrage OpportunitiesSeasonal Inventory InvestmentSeasonality Of Earnings
Investigates whether the Bombay Stock Exchange behaves like an efficient market, or whether it displays a typical seasonal pattern. Takes mean daily returns between 1979 and 1990 to discover by regression that there is a December effect. Considers whether this is because of holidays, broker recommendations or window dressing by mutual fund managers. Notes a weekend effect like the New York Stock Exchange, and considers Bombay to be weak‐form efficient; but points out that banking and transport are nationalized in India but private in the USA. Explains that government regulation, which prevents foreign trading in Bombay or Indian trading on the New York Stock Exchange, has left the Bombay exchange autonomous, less affected by external factors and more by domestic conditions.
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The relationship between return and market value of common stocks
Rolf W. Banz · Journal of Financial Economics · 1981 · 6.1K citations
Stock returns and the weekend effect
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Donald B. Keim · Journal of Financial Economics · 1983 · 1.8K citations