DAILY SEASONALITY IN LME BASE METAL RETURNS 1989-2002: A ROBUST ANALYSIS

摘要: The issue of whether or not there exists daily seasonality in asset prices, where returns show persistent differences across days the week, has generated a large number studies, great preponderance concentrating on equity returns. Thus, Maberly (1995) indicates that by early 1930’s US researchers (Fields (1931) & Kelly (1930)) were aware tendency stocks to decline Mondays. This was confirmed more recent times byCross (1973) and French (1980) who found Monday Since these papers, amount confirmatory data for indices emerged, examples beingLakonishok Levi (1982) CRSP indices, Lakonishok Smidt (1988) Dow Jones Kohers NASDAQ. These many other papers have reinforced pattern having lowest, often negative, return despite highest, higher than average, risk as proxied standard deviation. evidence UK (Theobald Price (1984), Jaffe Westerfield (1985), Condoyanni, O'Hanlon Ward (1987), Board Sutcliffe (1988), Agrawal Tandon (1994), Peiro Mills Coutts (1995), Dubois Louvet (1996) Hayes (1999)) is similar. (1994) , (1994),Dubois andKramer provide Frankfurt negative Tuesday return. Solnik Bousquet (1990) find Paris, while (1987) both also Milan (Barone (1990)).