The Disappearing January/Turn of the Yea
The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets
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Andrew C. Szakmary; Dean B. Kiefer
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Article
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2004
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John Wiley and Sons
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English
โ 172 KB
๐ 1 views
## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti