13 Pages Posted: 29 Oct 2008
Date Written: October 28, 2008
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.
Keywords: calendar effects, market anomalies, market efficiency
JEL Classification: C12, C22, G14
Suggested Citation: Suggested Citation
Worthington, Andrew C., The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005 (October 28, 2008). Available at SSRN: https://ssrn.com/abstract=1290905 or http://dx.doi.org/10.2139/ssrn.1290905