✦ LIBER ✦
A time series test of calendar seasonalities in the S&P 500 index since the introduction of index derivative securities
✍ Scribed by Don Cyr; Tanya Llewellyn
- Publisher
- John Wiley and Sons
- Year
- 1994
- Tongue
- English
- Weight
- 927 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
ATIME SERIES TEST OF CALENDAR
SEASONALITIES IN THE s&P 500 INDEX SINCE THE
INTRODUCTION OF INDEX DERIVATIVE SECURITIES
DON CYR TANYA LLEWELLYN
'Barone-Adesi and Cyr (1992) however, provide evidence that conflicts with that of Maloney and Kogalski (1 989) of a turn-of-the-year seasonality in volatilities implied from stock and index options prices.