Download or read book A Nonparametric Test of Monthly Seasonality for International Stock Markets written by Jason Zhanshun Wei and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective / contribution of this study is five-fold: 1) to propose a nonparametric test for seasonality studies, namely the Friedman's test; 2) to test for seasonality for major international indexes; 3) to find out if dividend yields cause seasonalities; 4) to determine if seasonality is quot;transferablequot; through currency translations; and 5) to uncover seasonalities for the world market. Using the Morgan Stanley Capital International indexes for 10 local markets plus the world index, the study performs various tests for monthly seasonality. The major findings include: 1) general seasonalities exist in some of the international markets, and dividend yields do not exhibit / cause seasonalities; 2) seasonalities in local markets tend to disappear when measured in U.S. dollars because of exchange rate fluctuations, and stable exchange rates do preserve seasonality (if any); 3) most markets have significantly higher returns in January and December and significantly lower returns in September; for the world market, May also has a lower return, which leads to what I call a quot;trapezoid effectquot;; and 4) the tax-loss-selling hypothesis is rejected for all markets.