The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market

Miguel Balbina

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: This paper assesses the existence of persistent seasonal effects in the daily returns of the Portuguese stock market. We use daily data on the stock market index to study long-lasting differences in returns across the days of the week, within months and around holidays. For the period 1988-2001, we find no evidence that daily returns are different between weekdays. However, we find a closed-market effect during 1988-1996. This effect disappears for the 1997-2001 period which coincides with the period from when the Portuguese market started to be internationally considered as a developed market.

JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200211

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