Risk, seasonality and the asymmetric behaviour of stock returns

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.

Intraday trading patterns in London listed exchange traded funds

In this paper we examine the intraday trading patterns of Exchange Traded Funds (ETFs) listed on the London Stock Exchange. ETFs have been shown to be characterised by much lower bid–ask spread costs and by lower levels of information asymmetry than individual securities. One possible explanation for intraday trading patterns is that concentration of trading arises at the start of the trading day because informed traders have private information that quickly diminishes in value as trading progresses. Since ETFs have lower trading costs and lower levels of information asymmetry we would expect these securities to display less pronounced intraday patterns than individual securities. We fail to find that ETFs are characterised by concentrated trading bouts during the day and therefore find support for the argument that information asymmetry is the cause of intraday volume patterns in stock markets. We find that ETF bid–ask spreads and volatility are elevated at the open but not at the close. This lends support to the “accumulation of information” explanation that sees high spreads and volatility at the open as a consequence of information accumulating during a market closure and impacting on the market when it next opens.

Modelling intraday trading volume

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Seasonality and geographical occurrence of West Nile fever and distribution of Asian tiger mosquito

The importance and risk of emerging mosquito borne diseases is going to increase in the European temperate areas due to climate change. The present and upcoming climates of Transdanubia seem to be suitable for the main vector of Chikungunya virus, the Asian tiger mosquito, Aedes albopictus Skuse (syn. Stegomyia albopicta). West Nile fever is recently endemic in Hungary. We used climate envelope modeling to predict the recent and future potential distribution/occurrence areas of the vector and the disease. We found that climate can be sufficient to explain the recently observed area of A. albopictus, while in the case of West Nile fever, the migration routes of reservoir birds, the run of the floodplains, and the position of lakes are also important determinants of the observed occurrence.

Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Digital Epidemiology Reveals Global Childhood Disease Seasonality and the Effects of Immunization

ACKNOWLEDGMENTS. We would like to thank Fernando Gonzalez-Dominguez and Gilberto Vaughan for providing the chicken pox case reports from Mexico, and the Estonia Health Board, Department of Communicable Disease Surveillance and Control, for Estonian chicken pox case reports. KB would like to thank Mercedes Pascual, her lab, and Marisa Eisenberg for helpful comments. Jesus Cantu (research assistant, Princeton University) translated and categorized chicken pox searches from Mexico, Thailand, Australia, and the US.

The Influence of Creative Tourism on Sustainable Development of Tourism and Reduction of Seasonality – Case Study of Óbidos

Tourism remains one of the most fast growing and important industries in the world. It is hard to underestimate the importance and the spectrum of the benefits that tourism provides. On the other hand, nowadays, the increasing growth of tourism poses a range of challenges and problems that need to be solved. These challenges resonate in the emergence of the so called 'alternative' or sustainable forms of tourism, which deem to be an antidote against the harms the traditional forms of tourism cause to the environment and local communities. These new forms of tourism, among which is creative tourism, are reinforced by the new breed of tourists, who are no longer satisfied with the static offer of tourism but rather prefer the dynamic one. The present research shows on the case of Óbidos the potential of creative tourism to meet these new needs of modern tourists while also solving number of problems that many destinations face, namely seasonality in tourism, as well as how creative tourism contributes to the sustainable development of tourism.

Reproductive Patterns and Birth Seasonality in a South-American Breeding Colony of Common Marmosets, Callithrix jacchus

SOUSA,M.B.C. et al. Reproductive Patterns and Birth Seasonality in a South-American Breeding Colony of Common Marmosets, Callithrix jacchus. Primates, v.40, n.2, p. 327-336, Apr. 1999.

Alternaria Spores in the Air Across Europe: Abundance, Seasonality and Relationships with Climate, Meteorology and Local Environment

We explored the temporal and spatial variations in airborne Alternaria spore quantitative and phenological features in Europe using 23 sites with annual time series between 3 and 15 years. The study covers seven countries and four of the main biogeographical regions in Europe. The observations were obtained with Hirst-type spore traps providing time series with daily records. Site locations extend from Spain in the south to Denmark in the north and from England in the West to Poland in the East. The study is therefore the largest assessment ever carried out for Europe concerning Alternaria. Aerobiological data were investigated for temporal and spatial patterns in their start and peak season dates and their spore indices. Moreover, the effects of climate were checked using meteorological data for the same period, using a crop growth model. We found that local climate, vegetation patterns and management of landscape are governing parameters for the overall spore concentration, while the annual variations caused by weather are of secondary importance but should not be neglected. The start of the Alternaria spore season varies by several months in Europe, but the peak of the season is more synchronised in central northern Europe in the middle of the summer, while many southern sites have peak dates either earlier or later than northern Europe. The use of a crop growth model to explain the start and peak of season suggests that such methods could be useful to describe Alternaria seasonality in areas with no available observations.

Seasonality Shows Evidence for Polygenic Architecture and Genetic Correlation With Schizophrenia and Bipolar Disorder

OBJECTIVE: To test common genetic variants for association with seasonality (seasonal changes in mood and behavior) and to investigate whether there are shared genetic risk factors between psychiatric disorders and seasonality. METHOD: Genome-wide association studies (GWASs) were conducted in Australian (between 1988 and 1990 and between 2010 and 2013) and Amish (between May 2010 and December 2011) samples in whom the Seasonal Pattern Assessment Questionnaire (SPAQ) had been administered, and the results were meta-analyzed in a total sample of 4,156 individuals. Genetic risk scores based on results from prior large GWAS studies of bipolar disorder, major depressive disorder (MDD), and schizophrenia were calculated to test for overlap in risk between psychiatric disorders and seasonality. RESULTS: The most significant association was with rs11825064 (P = 1.7 × 10⁻⁶, β = 0.64, standard error = 0.13), an intergenic single nucleotide polymorphism (SNP) found on chromosome 11. The evidence for overlap in risk factors was strongest for schizophrenia and seasonality, with the schizophrenia genetic profile scores explaining 3% of the variance in log-transformed global seasonality scores. Bipolar disorder genetic profile scores were also associated with seasonality, although at much weaker levels (minimum P value = 3.4 × 10⁻³), and no evidence for overlap in risk was detected between MDD and seasonality. CONCLUSIONS: Common SNPs of large effect most likely do not exist for seasonality in the populations examined. As expected, there were overlapping genetic risk factors for bipolar disorder (but not MDD) with seasonality. Unexpectedly, the risk for schizophrenia and seasonality had the largest overlap, an unprecedented finding that requires replication in other populations and has potential clinical implications considering overlapping cognitive deficits in seasonal affective disorders and schizophrenia.

Reproductive Patterns and Birth Seasonality in a South-American Breeding Colony of Common Marmosets, Callithrix jacchus

SOUSA,M.B.C. et al. Reproductive Patterns and Birth Seasonality in a South-American Breeding Colony of Common Marmosets, Callithrix jacchus. Primates, v.40, n.2, p. 327-336, Apr. 1999.

Diet seasonality and overlap of Chrysichthys species on Lake Kainji, Nigeria

Seasonality and overlap of diet of Chrysichthys species in Kainji Lake was studied for a period of one year. A total of two hundred and forty five Chrysichthys nigrodigitatus and one hundred and nineteen Chrysichthys auratus longifilis were used during the study. Chrysichthys species food items ranged from plant to animal materials. Seasonal variations of diet showed that plant material dominated the diet of both species in rainy and dry seasons. While zygoptera and Lumbiculus were absent in the diet of Chrysichthys auratus longifilis in rainy season, zygoptera and nematode were absent in dry season. There was significant correlation (p< 0.01) of the items between the two species. There was also high level of association between their diets, which indicated that both species have similar diet. Lake Kainji is a good environment for the survival of Chrysichthys species. KEYWORDS: Chrysichthys species, overlap, diet, seasonality, Kainji Lake, Nigeria