EconPapers    
Economics at your fingertips  
 

Seasonality in the Australian Stock Market

Ha Vu and Sean Turnell

Applied Economics and Finance, 2019, vol. 6, issue 5, 158-167

Abstract: This paper examines the presence of day-of-the-week and month-of-the-year effects in the Australian stock market over the past several decades, and investigates whether long-standing anomalies persist following the 1987 stock market crash, and the 2008 global financial crisis. We find that before the 1987 crash the Australian stock market recorded lowest returns on Tuesday and highest returns on Thursdays. However, these daily phenomena seemed to vanish in the decades since, suggesting that Australian daily share prices are more likely to move randomly. In contrast, monthly seasonality is still in place with negative returns recorded in May and June, and high returns in July, December, and April. Seasonality and predictability in Australian equity prices, though reduced, are thus seemingly not dead just yet.

Keywords: stock returns; anomalies; Australian stocks (search for similar items in EconPapers)
JEL-codes: R00 Z0 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://redfame.com/journal/index.php/aef/article/view/4445/4631 (application/pdf)
http://redfame.com/journal/index.php/aef/article/view/4445 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:6:y:2019:i:5:p:158-167

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().

 
Page updated 2019-09-14
Handle: RePEc:rfa:aefjnl:v:6:y:2019:i:5:p:158-167