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On The Question of Seasonal Regularities in Australian Capital Markets

Author

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  • James C. Dyer IV

    (Jesse H. Jones Graduate School of Administration, Rice University and University of Newcastle. We are indebted to H.E. Doran, R. Watts and a referee for comments on an earlier draft. Responsibility for any remaining errors rests solely with the authors. The study was supported by a grant from the Australian Research Grants Committee.)

  • Gary R. Keating

    (Jesse H. Jones Graduate School of Administration, Rice University and University of Newcastle. We are indebted to H.E. Doran, R. Watts and a referee for comments on an earlier draft. Responsibility for any remaining errors rests solely with the authors. The study was supported by a grant from the Australian Research Grants Committee.)

Abstract

The folklore that rates of return on the Australian capital market exhibit seasonals is tested. Previous studies by Praetz (1973) and Officer (1975) have reported seasonals. Rozeff and Kinney (1976) follow up these studies and confirm the seasonal in U.S. data. Using spectral techniques, this study provides evidence which, on balance, supports the hypothesis that the generation process for rates of return on Australian equity shares is devoid of seasonal regularity.

Suggested Citation

  • James C. Dyer IV & Gary R. Keating, 1977. "On The Question of Seasonal Regularities in Australian Capital Markets," Australian Journal of Management, Australian School of Business, vol. 2(1), pages 1-10, April.
    • Handle: RePEc:sae:ausman:v:2:y:1977:i:1:p:1-10
    DOI: 10.1177/031289627700200101
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    References listed on IDEAS

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    1. Officer, R. R., 1975. "Seasonality in Australian capital markets : Market efficiency and empirical issues," Journal of Financial Economics, Elsevier, vol. 2(1), pages 29-51, March.
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    2. Clinch, Greg & Lyon, John D. & Pinnuck, Matt, 2019. "A review of the impact of Ball and Brown (1968) on research in the Asia-Pacific Basin," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 268-277.

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