Microstructure and Seasonality in the UK Equity Market

Paul Draper and Krishna Paudyal

Journal of Business Finance & Accounting, 1997, vol. 24, issue 7‐8, 1177-1204

Abstract: This paper explores seasonality in the UK stock market. It examines the impact of alternative company year‐ends on returns as well as seasonality in bid‐ask spreads and trading activity variables including volume, number and size of trades. Consistent with the evidence elsewhere, seasonal variation in stock returns and trading activity is established although there is little evidence of a seasonal pattern in relative bid‐ask spreads. Trading rules based on the seasonal patterns do not suggest that seasonality can be exploited to earn excess profits.

Date: 1997
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