Is time money? The effects of seasonal time changes on European stock returns

Abstract

This thesis examines the effect of seasonal time changes on European stock returns. The results suggest that there is no seasonal time change effect in the European countries. The thesis contributes to the limited existing literature, as there is an ongoing debate on the existence of the time change effect, and there are no previous studies focusing on Europe. I base my analysis on a mean and multiple regression analysis as my main methods, complemented by cumulative distribution function plots. Further robustness checks comprise excluding outliers and a GARCH model. The data consists of 28 European total market indices with varying time spans.