Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 69-85 |
| Number of pages | 17 |
| Journal | Accounting and Finance |
| Volume | 31 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1991 |
| Externally published | Yes |
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Seasonality in Australian share price indices between 1936 and 1957. / Brailsford, Tim; Easton, Stephen A.
In: Accounting and Finance, Vol. 31, No. 2, 1991, p. 69-85.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Seasonality in Australian share price indices between 1936 and 1957
AU - Brailsford, Tim
AU - Easton, Stephen A.
PY - 1991
Y1 - 1991
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84985559868&partnerID=8YFLogxK
U2 - 10.1111/j.1467-629X.1991.tb00164.x
DO - 10.1111/j.1467-629X.1991.tb00164.x
M3 - Article
VL - 31
SP - 69
EP - 85
JO - Accounting and Finance (ONLINE)
JF - Accounting and Finance (ONLINE)
SN - 0810-5391
IS - 2
ER -