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The School’s Out effect: a new seasonal anomaly!

The School’s Out effect: a new seasonal anomaly!
The School’s Out effect: a new seasonal anomaly!
We provide evidence of a new seasonal anomaly during the school vacation or School’s Out (SO) period in nine East Asia and five Mediterranean stock markets. One of its characteristics is that many investors are distracted by child care activities in family-oriented economies where the school vacations last for at least five weeks. The other is that retail investors play a prominent role in these markets. The SO effect manifests itself in a lowering of weekly share turnover by 13% in East Asia and 25% in the Mediterranean markets and in a drop in the corresponding stock returns by 0.4% and 0.3%, respectively. The falls in turnover and, to a lesser extent, returns are robust to a potential confound with other seasonal effects such as the Gone Fishin’ and Sell in May and Go Away effects where these effects overlap.
Gone Fishin’, heterogeneous agents, family-oriented societies
0890-8389
133-143
Coakley, Jerry
1eb3a7c8-5f11-4555-9dd2-9082b109bd2a
Kuo, Jing-Ming
4ded9336-66d1-4a13-bc34-5473e6532eb6
Wood, Andrew
85eeabbb-2093-4a01-9235-653eb00e8f55
Coakley, Jerry
1eb3a7c8-5f11-4555-9dd2-9082b109bd2a
Kuo, Jing-Ming
4ded9336-66d1-4a13-bc34-5473e6532eb6
Wood, Andrew
85eeabbb-2093-4a01-9235-653eb00e8f55

Coakley, Jerry, Kuo, Jing-Ming and Wood, Andrew (2012) The School’s Out effect: a new seasonal anomaly! British Accounting Review, 44 (3), 133-143. (doi:10.1016/j.bar.2012.07.003).

Record type: Article

Abstract

We provide evidence of a new seasonal anomaly during the school vacation or School’s Out (SO) period in nine East Asia and five Mediterranean stock markets. One of its characteristics is that many investors are distracted by child care activities in family-oriented economies where the school vacations last for at least five weeks. The other is that retail investors play a prominent role in these markets. The SO effect manifests itself in a lowering of weekly share turnover by 13% in East Asia and 25% in the Mediterranean markets and in a drop in the corresponding stock returns by 0.4% and 0.3%, respectively. The falls in turnover and, to a lesser extent, returns are robust to a potential confound with other seasonal effects such as the Gone Fishin’ and Sell in May and Go Away effects where these effects overlap.

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More information

Published date: September 2012
Keywords: Gone Fishin’, heterogeneous agents, family-oriented societies
Organisations: Centre for Digital, Interactive & Data Driven Marketing

Identifiers

Local EPrints ID: 357061
URI: https://eprints.soton.ac.uk/id/eprint/357061
ISSN: 0890-8389
PURE UUID: 2eac86a9-cdc1-4b22-89cd-0f2c38ab2194

Catalogue record

Date deposited: 25 Sep 2013 08:55
Last modified: 16 Jul 2019 21:22

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