Abstract
This paper updates Cataldo (1998, 1999) and provides for descriptive measures of New York Stock Exchange special closings (NYSE SCs), the Russell 2000® Index, and 30-day commercial paper rates. NYSE SCs produce stock index behavioral patterns comparable to weekend and holiday effects. The Russell 2000® Index (1987-) provides a control measure for small firm effects. The 30-day commercial paper rates (1972-) provide a control measure for interest rates and liquidity. The significance of these control variables for small firm effects and liquidity is applied to all seasonal categories in this description of the expanded Stock Index and Market Seasonals (SIMS) 2.0.
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