Stock Index and Market Seasonals (SIMS) Database

This section introduces the content and structure of the first version of an historical capital markets data base. The Stock Index and Market Seasonals (SIMS) data base was created by Anthony J. Cataldo, II. The known email for him at the time of this updating is: ACataldo@wcupa.edu. Please contact him for further information

Summary

In developing SIMS, Fosbacks’s (1976) assertions with respect to a three-day holiday effects-based market reaction/sequence were investigated. Prior studies have found support for the existence of a two- or one-day market reaction/sequence for aggregate holiday effects. This paper finds support for Fosback’s "three-day" holiday effects sequence, in the form of a test of market efficiency.

Furthermore, SIMS provides for the identification of both separate and aggregate holiday effects. Many prior studies have analyzed holiday effects, but only in their

aggregate form. Separate descriptive statistics of ten holidays illustrates their very different seasonal patterns.

SIMS provides 100 years of selected daily index measures and contains dummy variables for all "seasonals" identified and supported in the accounting, finance, and

economics literature streams. This first version will be useful primarily as a source of "control" variables, and will be of greatest interest to academics engaged in

capital markets research streams employing CRSP and/or COMPUSTAT data bases. A user will include the variable(s) of interest to conduct statistical analyses of hypotheses.