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Seasonality in industry specific indices

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Abstract

This study examines seaonality in three industry specific stock market indices; the Standard and Poor's (S&P) 20 Transportation, the S&P 40 Utilities, and the S&P 40 Financial. The results support the existence of a weekend effect in the transportation index. There is no evidence of a weekend effect in the utilities and financial indices. Both the transportation and financial indices exhibit the January effect. The utilities index, however, shows no evidence of a January effect. The finding of a weekend and a January effect at the industry level is significant because select mutual funds enhance the ability of investors to capitalize on such anomalies.

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Authors and Affiliations

  1. University of Dayton, Dayton, OH

    Ann Marie Whyte (Assistant Professor of Finance)

  2. Texas A&M International University, Laredo, TX

    Armand Picou (Assistant Professor of Finance)

Authors
  1. Ann Marie Whyte
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  2. Armand Picou
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Whyte, A.M., Picou, A. Seasonality in industry specific indices. J Econ Finan 17, 57–67 (1993). https://doi.org/10.1007/BF02920031

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