Abstract
This research tries to analyze the monthly seasonality on the S&P 500 index percentage returns in U.S. stock market from January 1941 through December 2020. The main purpose is 1) to reveal if there is a seasonal pattern in the S&P 500 index return over the last 80 years, 2) to scrutinize if the seasonal pattern has changed over the last 40 years (1981–2020) as opposed to that of the entire 80-year study period (1941–2020), and 3) to provide analytical and operational insights both for researchers and practitioners. Specifically, we first try to decompose the S&P 500 index percentage return (Y) additively into trend component (T), seasonal component (S), and error term (E). If E is approximately normally distributed and T captures the major S&P 500 index movements, then S can be considered as the seasonal pattern. Managerial implications and sensitivity analysis are also discussed.
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He, X.J. (2022). Seasonality Analysis of US Stock Market. In: Arai, K. (eds) Advances in Information and Communication. FICC 2022. Lecture Notes in Networks and Systems, vol 438. Springer, Cham. https://doi.org/10.1007/978-3-030-98012-2_20
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DOI: https://doi.org/10.1007/978-3-030-98012-2_20
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