Template-Type: ReDIF-Article 1.0

Author-Name: Virag Kegl
Author-Workplace-Name: Budapest University of Economics and Technology, Rajk College for Advanced Studies
Author-Email: virag.kegl@gmail.com
Author-Person:

Author-Name: Dora Greta Petroczy
Author-Workplace-Name: Budapest Metropolitan University, Magyar Nemzeti Bank
Author-Email: petroczyd@mnb.hu
Author-Person: ppe848

Title: The Effect of Seasonal Depression on Stock Market Returns

Abstract: The study analyses the statistical relationship between the degree of seasonal
depression and stock index returns. For this analysis, we examine the daily returns
of two US and five European stock indices using OLS regression. The analysis found
a statistically significant relationship between seasonal depression and the change
in returns. However, due to the limited use of the reduced form, this only confirms
the link between seasonal depression and returns, and further observations would
be required to confirm a causal relationship.

Classification-JEL: C10, G14, G20, G40
Keywords: investor sentiment, seasonal depression, stock indices, stock market returns
Pages: 117-139
Volume: 23
Issue: 3
Year: 2024
File-URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-23-3-st5-kegl-petroczy.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:23:y:2024:i:3:p:117-139