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Seasonality in the Australian Stock Market

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  • Ha Vu
  • Sean Turnell

Abstract

This paper examines the presence of day-of-the-week and month-of-the-year effects in the Australian stock market over the past several decades, and investigates whether long-standing anomalies persist following the 1987 stock market crash, and the 2008 global financial crisis. We find that before the 1987 crash the Australian stock market recorded lowest returns on Tuesday and highest returns on Thursdays. However, these daily phenomena seemed to vanish in the decades since, suggesting that Australian daily share prices are more likely to move randomly. In contrast, monthly seasonality is still in place with negative returns recorded in May and June, and high returns in July, December, and April. Seasonality and predictability in Australian equity prices, though reduced, are thus seemingly not dead just yet.

Suggested Citation

  • Ha Vu & Sean Turnell, 2019. "Seasonality in the Australian Stock Market," Applied Economics and Finance, Redfame publishing, vol. 6(5), pages 158-167, September.
    • Handle: RePEc:rfa:aefjnl:v:6:y:2019:i:5:p:158-167
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    References listed on IDEAS

    as
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    4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    5. Philip Brown & Andrew Ferguson & Sam Sherry, 2010. "Investor behaviour in response to Australia’s capital gains tax," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 783-808, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock returns; anomalies; Australian stocks;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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