Microstructure and seasonality in the UK equity market

Paul Draper, Krishna Paudyal

Research output: Contribution to journalArticle

38 Citations (Scopus)

Abstract

This paper explores seasonality in the UK stock market. It examines the impact of alternative company year‐ends on returns as well as seasonality in bid‐ask spreads and trading activity variables including volume, number and size of trades. Consistent with the evidence elsewhere, seasonal variation in stock returns and trading activity is established although there is little evidence of a seasonal pattern in relative bid‐ask spreads. Trading rules based on the seasonal patterns do not suggest that seasonality can be exploited to earn excess profits.
Original languageEnglish
Pages (from-to)1177-1204
Number of pages28
JournalJournal of Business Finance and Accounting
Volume24
Issue number7-8
DOIs
Publication statusPublished - 30 Sep 1997

Keywords

  • seasonality
  • bid‐ask spread
  • volume
  • trading activity
  • tax‐year‐ends

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