International Journal of Business and Economics Volume 1, No. 1 April​, 2002

Some International Evidence on the Seasonality of Stock Prices

Shigeyuki Hamori

Faculty of Economics, Kobe University, Japan

Akira Tokihisa

Faculty of Economics, Kobe University, Japan

Abstract

This paper performs seasonal integration tests based on stock price indices for the G7 countries. Nonseasonal unit roots were found in all countries. This implies that the (1-B) filter is all that is needed to obtain the stationarity of stock prices, and the inclusion of dummy variables is all that is needed to consider seasonality in stock prices.

Keywords：seasonal integration, stock prices, monthly effects.

JEL Classifications：C32, G12.

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