Abstract

http://ssrn.com/abstract=1290905
 
 

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The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005


Andrew C. Worthington


Griffith University; Financial Research Network (FIRN)

October 28, 2008


Abstract:     
This paper examines calendar effects in Australian daily stock returns from 6 January 1958 to 30 December 2005. Three calendar effects - day-of-the-week, turn-of-the-month and month-of-the-year - are examined using parametric tests and a regression-based approach. The results indicate that the Australian market is characterised by seasonality of all three forms, with Tuesday, September and the second trading day of the month the most significant. However, there is also evidence of parameter instability and structural breaks in these relationships, with day-of-the-week effects becoming less important in the post-1987 crash period.

Number of Pages in PDF File: 13

Keywords: calendar effects, market anomalies, market efficiency

JEL Classification: C12, C22, G14

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Date posted: October 29, 2008  

Suggested Citation

Worthington, Andrew C., The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005 (October 28, 2008). Available at SSRN: http://ssrn.com/abstract=1290905 or http://dx.doi.org/10.2139/ssrn.1290905

Contact Information

Andrew C. Worthington (Contact Author)
Griffith University ( email )
170 Kessels Road
Nathan, Queensland 4111
Australia
+61 (0)7 3735 4273 (Phone)
+61 (0)7 3735 3719 (Fax)
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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