Seasonality in Australian share price indices between 1936 and 1957

Tim Brailsford, Stephen A. Easton

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

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 languageEnglish
Pages (from-to)69-85
Number of pages17
JournalAccounting and Finance
Volume31
Issue number2
DOIs
Publication statusPublished - 1991
Externally publishedYes

Fingerprint

Seasonality
Share prices
Price index
Equity returns

Cite this

Brailsford, Tim ; Easton, Stephen A. / Seasonality in Australian share price indices between 1936 and 1957. In: Accounting and Finance. 1991 ; Vol. 31, No. 2. pp. 69-85.
@article{4109705560b64c6fb0c2e6c6a3c692f7,
title = "Seasonality in Australian share price indices between 1936 and 1957",
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.",
author = "Tim Brailsford and Easton, {Stephen A.}",
year = "1991",
doi = "10.1111/j.1467-629X.1991.tb00164.x",
language = "English",
volume = "31",
pages = "69--85",
journal = "Accounting and Finance (ONLINE)",
issn = "0810-5391",
publisher = "Wiley-Academy",
number = "2",

}

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 journalArticleResearchpeer-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 -