Daily seasonalities and stock market reforms in Spain
Year: 1995
Type: article
Abstract: The effects of Spanish Stock Exchange Reform on the seasonal patterns of daily stock excess returns are addressed. 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
Source: Applied Financial Economics
DOI: 10.1080/758538601
Author: J. Ignacio PeÑa
Institution: Universidad Carlos III de Madrid
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2168567680