Seasonality in Australian share price indices between 1936 and 1957

There have been a number of Australian studies which have investigated monthly equity return seasonality from 1958 to the mid‐1980s. This paper extends the Australian evidence on seasonality by examining equity returns between 1936 and 1957. The major finding of the study is that returns in January are consistently higher than returns in any other month, and that returns in February and June are consistently lower than returns in other months. There is also evidence that returns in July are higher, and in March are lower, than returns in other months. However, it is the January, February and June seasonals which are significant and these remain after taking account of seasonality in ex‐dividend days.