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

13 Pages Posted: 29 Oct 2008  

Andrew C. Worthington

Griffith University

Date Written: 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.

Keywords: calendar effects, market anomalies, market efficiency

JEL Classification: C12, C22, G14

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

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)

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