Intra-Week Regularities in Security Returns: Further Australian Evidence

Frank J. Finn, Anthony Lynch and Simon Moore
Additional contact information
Frank J. Finn: Department of Commerce, University of Queensland QLD 4072.
Anthony Lynch: Graduate School of Business University of Chicago U.S.A.
Simon Moore: Department of Commerce, University of Queensland QLD 4072.

Australian Journal of Management, 1991, vol. 16, issue 2, 129-144

Abstract: This paper provides further evidence on short-term seasonals in returns on equity and fixed interest securities and futures on fixed interest securities in the Australian market. The significant result is that daily seasonals are found infixed interest securities and are qualitatively the same as for equity returns, high Thursday and low Tuesday returns. But the interest rate seasonal does not appear to explain the equity seasonal. Further, while no seasonal was evident in returns on futures on fixed interest securities, the futures market showed a seasonal in daily variances of returns.

Keywords: SECURITY RETURNS; DAILY SEASONALS; INTRA-WEEK RETURNS (search for similar items in EconPapers)
Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:16:y:1991:i:2:p:129-144

DOI: 10.1177/031289629101600202

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