On The Question of Seasonal Regularities in Australian Capital Markets

James C. Dyer Iv and Gary R. Keating
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James C. Dyer Iv: Jesse H. Jones Graduate School of Administration, Rice University and University of Newcastle. We are indebted to H.E. Doran, R. Watts and a referee for comments on an earlier draft. Responsibility for any remaining errors rests solely with the authors. The study was supported by a grant from the Australian Research Grants Committee.
Gary R. Keating: Jesse H. Jones Graduate School of Administration, Rice University and University of Newcastle. We are indebted to H.E. Doran, R. Watts and a referee for comments on an earlier draft. Responsibility for any remaining errors rests solely with the authors. The study was supported by a grant from the Australian Research Grants Committee.

Australian Journal of Management, 1977, vol. 2, issue 1, 1-10

Abstract: The folklore that rates of return on the Australian capital market exhibit seasonals is tested. Previous studies by Praetz (1973) and Officer (1975) have reported seasonals. Rozeff and Kinney (1976) follow up these studies and confirm the seasonal in U.S. data. Using spectral techniques, this study provides evidence which, on balance, supports the hypothesis that the generation process for rates of return on Australian equity shares is devoid of seasonal regularity.

Keywords: DIVIDENDS; EFFICIENT MARKETS; INDUSTRY EFFECTS; SEASONALS; SPECTRAL ANALYSIS; STOCK MARKET PRICES (search for similar items in EconPapers)
Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:2:y:1977:i:1:p:1-10

DOI: 10.1177/031289627700200101

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