Seasonality in the Australian Stock Market
Ha Vu and
Applied Economics and Finance, 2019, vol. 6, issue 5, 158-167
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)
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Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:6:y:2019:i:5:p:158-167
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