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

Andrew D Clare, Zacharias Psaradakis and Stephen H Thomas

Economic Journal, 1995, vol. 105, issue 429, 398-409

Abstract: This paper examines the nature and importance of seasonal fluctuations in the U.K. equity market. The authors' analysis reveals that returns on the FT-A All Share index exhibit significant seasonality that is best described by a deterministic seasonal model. The authors also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk. Copyright 1995 by Royal Economic Society.

Date: 1995
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