Seasonality in equities
14 papers on seasonality in equities as a systematic trading strategy. Seasonality papers on single stocks and equity indices: 14 of the 15 in seasonality and calendar effects. The most cited is Market Anomalies in the A.S.E: The Day of the Week Effect (2002).
Papers141999–2026
Share of the family93 %14 of 15
| cited by | method | ||
|---|---|---|---|
| Market Anomalies in the A.S.E: The Day of the Week Effect by Lyroudi et al. | 26 | 2002 | |
| The Other January Effect by Cooper et al. | 11 | Linear factor models | 2005 |
| Why Investors Should Not Be Cautious About the Academic Approach to Testing for Stock Market Anomalies by Tornero and Lucey | 9 | 2003 | |
| Closing the Question on the Continuation of Turn-of-The-Month Effects: Evidence from the S&P 500 Index Futures Contract by Maberly and Waggoner | 9 | 2000 | |
| Session Effect in Istanbul Stock Exchange by Dicle and Hassan | 3 | Classical time series | 2006 |
| The Economic Significance of Some Simple Models of Time Series Stock Return Predictability by Jacobsen | 3 | 1999 | |
| Exploiting Superstition in the Investment Strategies: Case of Friday the 13th Effect by Ştefanescu and Dumitriu | 2 | 2018 | |
| Calendar Anomalies in Stock Index Futures by Carchano and Tornero | 2 | 2011 | |
| The Weekend Effect in Equity Option Returns by Jones and Shemesh | 2 | 2009 | |
| Calendar Effects of Asset Pricing Factors by Fan et al. | 0 | 2026 | |
| Sectoral Intramonth Momentum Cycle Exploiting Turn-of-the-Month Patterns in Sector ETF Strategies by Vojtko and Dujava | 0 | 2026 | |
| Do Regulatory Policies Affect Volatility and Stock Market Anomalies? Evidence from Egypt by Farag | 0 | 2011 | |
| Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects | Classical time series | 2017 | |
| Stock Market Anomalies: A Calender Effect in BSE-Sensex | 2009 |