Worthington, A. C., The decline and fall of seasonality in the Australian stock exchange, 1958-2005, School of Accounting & Finance, University of Wollongong, Working Paper 12, 2006.
This paper examines calendar effects in Australian daily stock returns over the forty-seven years from 6 January 1958 to 30 December 2005. Three principal calendar effects – day-of-the-week, day-of-the-month and month-of-the-year – are examined separately and jointly using parametric tests of differences in means and variances and a regression-based approach. The results indicate that the Australian market is characterised by seasonality of all three forms, with Tuesday, December and the second day of the month among the most significant. However, there is also evidence of structural change in these relationships, with indications that the market has become more efficient in recent years, with day-of-the-week and day-of-the-month effects becoming less important in the post-1987 crash period.