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论文作者:代写留学生论文论文属性:硕士毕业论文 thesis登出时间:2011-05-18编辑:zn1987点击率:3439
论文字数:6286论文编号:org201105181338258227语种:英语 English地区:英国价格:$ 66
Security price anomalies in the London
International Stock Exchange: A 60 year perspective
Department of代写留学生论文Statistics, Herriot Watt University, UK and Department of Accounting and Finance, Shield University Management School, UK
This paper investigates the existence of security price anomalies, or `calendar e acts’ in the Financial Times Industrial Ordinary Shares Index over a 60 year period: 1 July1935 through 31 December 1994. Our results broadly support similar evidence documented for many countries concerning stock market anomalies, as the weekend, January and holiday e acts all appear, to some extent, to be present in our data set. We conclude that even if these anomalies are persistent in their occurrence and magnitude, the cost of implementing any potential `trading rules’ may be prohibitive due to the illiquidity of the market and `round trip’ transactions costs. This is of course perfectly consistent with the notion of market e cadency; in that no strategy exists that will consistently yield abnormal returns.
1.INTRODUCTION
Since the pioneering works of Fame (1965) and Cross (1973)there have been many anomalies documented concerning the behavior of security price returns: the most prevalent of these anomalies appear to be a weekend e act, where stocks exhibit sign cantle lower returns over the period between Friday’s close and Monday’s close, although there is evidence for the US that this e act has died out in recent years;1a January e act, where returns are much higher during the month of January than in any other month;2and a holidayed act, where returns are much higher on trading days immediately prior to holidays (Ariel 1990).3Some of these anomalies have existed for over half a century, Lakonishokand Smite (1988), and have led some facial economists to question the notion of market e cadency and, in particular, models of asset pricing. Mills and Coutts (1995) suggest that a consequence of the existence of particular anomalies may be that new, alternative; models of asset pricing are required.
Lakonishok and Smite (1988) warn that scepticismconcerning stock price anomalies is likely to persist until on amatory evidence is provided from did errant data sets over did errant periods of time. It is in this context that we report the results of our present research, in which reanalyze the rest major UK stock market index; the Financial Times Industrial Ordinary Shares Index (F T 30), over the period 31 July 1935 through to 31 December 1994.
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Alexei’s, P. and Cantharis, M. (1995) Day of the week e acts on the Greek stock market, Applied Economics L Etters, 5, 43D50.
Ariel, R. A. (1987) a monthly e act in stock returns, Journal of Financial Economics, 18, 161D174.
Ariel, R. A. (1990) High stock returns before holidays: existence and evidence on possible causes, Journal of Finance, 45, 1611D1626.
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Badrinath, S. G. and Chattered, S. (1988) on measuring scenes and elongation in common stock return distributions: the case of the market index, Journal of Business, 61, 451D472.
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