C/F/216. Seasonality in the Canadian Stock Market

This work examines the trend of stock market seasonality in the Canadian stock market. This makes use of the set of data across various sectors, the work employs the GARCH(1,1) model to study the various effects within the sectors. The whole study of seasonality affecting the stock markets is a global phenomenon and it continues to persist even today having various impacts on the stock prices across sectors. Although the presence of seasonality implies a lack of informational efficiency in the respective stock market, this study does not disprove the validity of the Efficient Market Hypothesis (EMH), as the presence of significant returns is not the same as to abnormal profits.