In this post I attempt to look at seasonality trends within stock market (SPY and different market sectors). I will be using additive statistical model (details are in the attached notebook) and explore seasonality trends. Then applying same methodology on different sector ETFs and compared them to benchmark SPY. Clearly, seasonality affects market but the magnitude of seasonality differs depends on strengthen of market trend.
This is my first attempt in understanding seasonality and therefore, this notebook can be significantly improved and/or changed. I welcome your opinions and criticisms. Thank you!
Exploring Seasonality Trends in Stock Market
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