Login | Register

A full century of monthly Canadian stock price index returns : a review of the Fisher hypothesis and some anomalies

Title:

A full century of monthly Canadian stock price index returns : a review of the Fisher hypothesis and some anomalies

Jean, Dominic (2001) A full century of monthly Canadian stock price index returns : a review of the Fisher hypothesis and some anomalies. Masters thesis, Concordia University.

[thumbnail of MQ64050.pdf]
Preview
Text (application/pdf)
MQ64050.pdf
3MB

Abstract

New primary data on the behaviour of Canadian stock prices since the turn of the 19th century are combined with the existing Toronto Stock Exchange Stock Price Return Index to provide a stock price index that spans the full length of the 20th century. Although long period returns have been available for several countries, to date no such data have been published for Canadian markets notwithstanding the fact that equity trading was quite active during this period, especially in Montreal. With these data we are in a position to address for the first time a number of anomalies associated with long horizon returns and irregularities that have been reported for other countries, such as the Gibson Paradox and the January effect. Results only partially support the Fisher hypothesis, but suggest that both the Gibson Paradox and the January effect no longer hold. A December effect appears to have replaced the January effect in the last decade of the 20th century.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Jean, Dominic
Pagination:v, 88 leaves ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration
Date:2001
Thesis Supervisor(s):Switzer, Lorne N
Identification Number:HG 5153 J43 2001
ID Code:1444
Deposited By: Concordia University Library
Deposited On:27 Aug 2009 17:19
Last Modified:21 Oct 2022 13:01
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top