The Effect of Seasonal Depression on Stock Market Returns

Virag Kegl () and Dóra Petróczy
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Virag Kegl: Budapest University of Economics and Technology, Rajk College for Advanced Studies

Financial and Economic Review, 2024, vol. 23, issue 3, 117-139

Abstract: The study analyses the statistical relationship between the degree of seasonal depression and stock index returns. For this analysis, we examine the daily returns of two US and five European stock indices using OLS regression. The analysis found a statistically significant relationship between seasonal depression and the change in returns. However, due to the limited use of the reduced form, this only confirms the link between seasonal depression and returns, and further observations would be required to confirm a causal relationship.

Keywords: investor sentiment; seasonal depression; stock indices; stock market returns (search for similar items in EconPapers)
JEL-codes: C10 G14 G20 G40 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:mnb:finrev:v:23:y:2024:i:3:p:117-139

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