Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-15T06:03:20.307Z Has data issue: false hasContentIssue false
  • English
  • Français

Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks

Published online by Cambridge University Press:  19 October 2009

Joseph M. Bonin  and
Edward A. Moses
Get access Rights & Permissions [Opens in a new window]

Extract

The purpose of this article is to produce a conservative estimate of how often traditionally conceived seasonal components are present in prices of individual Dow Jones industrial stocks. A careful estimate is needed to resolve some of the current confusion on the question and to provide basic information along lines suggested by Smidt [27, p. 238]: “… investigations of the random walk hypothesis would be most fruitful if they were conducted in the spirit of attempting to determine the size and extent of systematic tendencies that may exist in price series” (italics added).

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 963 - 991
Copyright
Copyright © School of Business Administration, University of Washington 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Alexander, Sidney S. “Price Movements in Speculative Markets: Trends or Random Walks.” Industrial Management Review, vol. 2 (May 1961), pp. 7–26.Google Scholar
[2]Ashby, Forest B. “Individual Cycles in Stock Prices.” The Journal of Political Economy, vol. 35 (December 1927): 835–851.CrossRefGoogle Scholar
[3]Bank and Quotation Pecord. New York: William B. Dana Co.Google Scholar
[4]Bicksler, James L. “Review of Predictability of Stock Market Prices by C. W. J. Granger and Oskar Morgenstern.” Journal of Economic Literature, vol. 9 (December 1971), p. 1200.Google Scholar
[5]Cootner, Paul H. “The Random Walk Hypothesis Reexarained.” In The Random Character of Stock Market Prices, edited by Cootner, Paul. Cambridge: The M.I.T. Press, 1964, pp. 189–197.Google Scholar
[6]Diller, Stanley.The Seasonal Variation of Interest Rates. Occasional Paper, no. 108. New York: National Bureau of Economic Research and Columbia University Press, 1969.Google Scholar
[7]Granger, C. W. J., and Morgenstern, Oskar. Predictability of Stock Market Prices. Lexington, Mass.: D. C. Heath & Co., 1971.Google Scholar
[8]Granger, C. W. J. “Spectral Analysis of New York Stock Market Prices.” Kyklos. vol. 16 (1963), pp. 1–25.CrossRefGoogle Scholar
[9]Granville, Joseph E.A Strategy of Daily Stock Market Timing for Maximum Profit. Englewood Cliffs, N. J.: Prentice-Hall, 1960.Google Scholar
[10]Grether, D. M., and Nerlove, M.. “Some Properties of ‘Optimal’ Seasonal Adjustment.” Econometrica, vol. 38 (1970), pp. 682–703.CrossRefGoogle Scholar
[11] “How to Buy Stocks by the Calendar.” Fortune (March 1965), p. 62.Google Scholar
[12]Jen, Frank. “Comments on ‘Seasonal Factors as a Guide to Investment Common Stocks’ by Edward A. Moses.” Southern Journal of Business (October 1969), pp. 218–219.Google Scholar
[13]Kendall, M. G. “The Analysis of Economic Time-Series: Part I. Prices.” Journal of the Royal Statistical Society, vol. 96 (1953), pp. 11–25.CrossRefGoogle Scholar
[14]Keynes, J. M.The General Theory of Employment Interest and Money. New York: Harcourt, Brace & Co., 1935.Google Scholar
[15]Kuznets, Simon.Seasonal Variations in Industry and Trade. New York: National Bureau of Economic Research, 1933.Google Scholar
[16]Marshall, Alfred.Money Credit and Commerce. London: Macmillan, 1929.Google Scholar
[17]McEnally, Richard W. “Seasonal Variations in Price Changes and Holding Period Returns of Common Stocks.” Unpublished Ph.D. dissertation, University of North Carolina, 1969.Google Scholar
[18]Moses, Edward A. “Seasonal Factors as a Guide to Investment in Common Stocks.” Southern Journal of Business (October 1969), pp. 211–217.Google Scholar
[19]Moses, Edward A. “Seasonal Variations in Common Stock Prices.” Unpublished Ph.D. dissertation, University of Georgia, 1971.Google Scholar
[20]Niederhoffer, Victor, and Osborne, M. F. M.. “Market Making and Reversal on the Stock Exchange.” Journal of the American Statistical Association, vol. 61 (December 1966), pp. 897–916.CrossRefGoogle Scholar
[21]Owens, Richard N., and Hardy, Charles O.. Interest Pates and Stock Speculation, 2nd ed., rev. Washington: The Brookings Institution, 1930.Google Scholar
[22]Persons, Warren M. “An Index of General Business Conditions.” Review of Economic Statistics, vol. 1 (January 1919), pp. 11–205.Google Scholar
[23]Rosenblatt, Harry M. “Spectral Evaluation of BLS and Census Revised Seasonal Adjustment Procedures.” The Journal of the American Statistical Association, vol. 63 (June 1968), pp. 472–501.Google Scholar
[24]Salzman, Lawrence. Computerized Economic Analysis. New York: McGraw-Hill, 1968.Google Scholar
[25]Shiskin, Julius. “Systematic Aspects of Stock Price Fluctuations.” In Modern Developments in Investment Management, edited by Lorie, James and Brealey, Richard. New York: Praegor Publishers, 1972, pp. 670–688.Google Scholar
[26]Shiskin, Julius; Young, Allan H.; and Musgrave, John C.. The X-11 Variant of the Census Method II Seasonal Adjustment Program. U. S. Bureau of the Census, Technical Paper, no. 15. Washington: Government Printing Office, 1967.Google Scholar
[27]Smidt, Seymour. “A New Look at the Random Walk Hypothesis.” Journal of Financial and Quantitative Analysis, vol. 3 (1968), pp. 235–262.CrossRefGoogle Scholar
[28]Spurr, William A.Seasonal Variations in the Economic Activities of Japan. University Studies, vol. 40. Lincoln: University of Nebraska, 1940.Google Scholar
[29]Wachtel, Sydney B. “Certain Observations on Seasonal Movements in Stock Prices.” The Journal of Business, vol. 15 (March 1942), pp. 184–193.Google Scholar