Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks

Joseph M. Bonin and Edward A. Moses

Journal of Financial and Quantitative Analysis, 1974, vol. 9, issue 6, 963-991

Abstract: The purpose of this article is to produce a conservative estimate of how often traditionally conceived seasonal components are present in prices of individual Dow Jones industrial stocks. A careful estimate is needed to resolve some of the current confusion on the question and to provide basic information along lines suggested by Smidt [27, p. 238]: “… investigations of the random walk hypothesis would be most fruitful if they were conducted in the spirit of attempting to determine the size and extent of systematic tendencies that may exist in price series” (italics added).

Date: 1974
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