Does Climatic Seasonality Produce Seasonality in Stock Returns? Evidence from an Emerging Stock Market

Moosa, I 2010, 'Does Climatic Seasonality Produce Seasonality in Stock Returns? Evidence from an Emerging Stock Market ', Journal of Applied Business and Economics , vol. 11, no. 2, pp. 120-128.


Document type: Journal Article
Collection: Journal Articles

Title Does Climatic Seasonality Produce Seasonality in Stock Returns? Evidence from an Emerging Stock Market
Author(s) Moosa, I
Year 2010
Journal name Journal of Applied Business and Economics
Volume number 11
Issue number 2
Start page 120
End page 128
Total pages 9
Publisher North American Business Press
Abstract This paper investigates seasonality in the Kuwait stock market using monthly average data on the market index covering the period 1996-2005. While conventional regression analysis fails to detect seasonality, structural time series modelling reveals a significant June seasonal as well as the stochastic nature of seasonality. The main explanation put forward for this phenomenon is that harsh climatic conditions in the summer months of July and August forces a significant proportion of the Kuwaiti population (and hence stock traders) to leave the country for overseas holidays. Before leaving the country, traders accumulate stocks, putting upward pressure on prices and creating the June effect.
Copyright notice © 2010 North American Business Press, All Rights Reserved
ISSN 1499-691X
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