The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market

Abstract

This paper assesses the existence of persistent seasonal effects in the daily returns of the Portuguese stock market. We use daily data on the stock market index to study long-lasting differences in returns across the days of the week, within months and around holidays. For the period 1988-2001, we find no evidence that daily returns are different between weekdays. However, we find a closed-market effect during 1988-1996. This effect disappears for the 1997-2001 period which coincides with the period from when the Portuguese market started to be internationally considered as a developed market.