Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147788
Authors: 
Sanusi, Muhammad Surajo
Ahmad, Farooq
Year of Publication: 
2016
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 4 [Year:] 2016 [Issue:] 1 [Pages:] 1-24
Abstract: 
This paper investigates the existence of seasonality anomalies in the stock returns of the oil and gas companies on the London Stock Exchange. It employs F-test, Kruskal-Wallis and Tukey tests to examine days-of-the-week effect. Generalised autoregressive conditional heteroscedasticity specification was also employed to investigate both the days-of-the-week and months-of-the-year effects. The analysis had been extended to some key FTSE indices. Our results showed no evidence of any regularity or seasonal fluctuation in the oil and gas stock returns despite the seasonal changes of demand in the companies' products. However, January effect has been observed in FTSE All Share and FTSE 100 indices.
Subjects: 
seasonality
oil and gas stock returns
days-of-the-week effect
months-of-theyear effect
January effect and London Stock Exchange
JEL: 
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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