Daily seasonality and stock market reforms in Spain

Juan Ignacio Peña

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This paper addresses the consequences of Spanish Stock Exchange Reform on the seasonal patterns of daily asset excess returns. Before the Reform, positive abnormal average Monday excess returns are found. Possible causes are discussed and related with clearing and trading mechanisms. After the Reform daily seasonal effects disappear, suggesting an increase in the market's operational efficiency.

Keywords: Daily; seasonalities; Market; efficiency (search for similar items in EconPapers)
Date: 1994-06
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:10735

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