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Intra-Week Regularities in Security Returns: Further Australian Evidence

Author

Listed:
  • 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.)

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.

Suggested Citation

  • Frank J. Finn & Anthony Lynch & Simon Moore, 1991. "Intra-Week Regularities in Security Returns: Further Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 16(2), pages 129-144, December.
    • Handle: RePEc:sae:ausman:v:16:y:1991:i:2:p:129-144
    DOI: 10.1177/031289629101600202
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    References listed on IDEAS

    as
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    Cited by:

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    2. Bruce J. Vanstone & Tom Smith & Tobias Hahn, 2017. "Australian momentum: performance, capacity and the GFC effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 261-287, March.

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