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The decline of calendar seasonality in the Australian stock exchange, 1958–2005

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  • Andrew Worthington

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  • Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
    • Handle: RePEc:kap:annfin:v:6:y:2010:i:3:p:421-433
    DOI: 10.1007/s10436-008-0111-9
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    8. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1035-1043.
    9. Rogalski, Richard J, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-837, July.
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    11. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
    12. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
    13. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
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    17. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    18. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    19. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
    20. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    21. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
    22. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 263-277, June.
    23. Seyed Mehdian & Mark Perry, 2002. "Anomalies in US equity markets: a re-examination of the January effect," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 141-145.
    24. Thaler, Richard H, 1987. "Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 169-177, Fall.
    25. Sinclair Davidson & Robert Faff, 1999. "Some additional Australian evidence on the day-of-the-week effect," Applied Economics Letters, Taylor & Francis Journals, vol. 6(4), pages 247-249.
    26. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 145-157, March.
    27. Stephen Keef & Paul McGuinness, 2001. "Changes in settlement regime and the modulation of day-of-the-week effects in stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 361-372.
    28. Roger Vergin & John McGinnis, 1999. "Revisiting the Holiday Effect: is it on holiday?," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 477-482.
    29. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 497-513, December.
    30. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
    31. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
    32. Khaksari, Shahriar & Bubnys, Edward L, 1992. "Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures," The Financial Review, Eastern Finance Association, vol. 27(4), pages 531-552, November.
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    Cited by:

    1. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    2. Herrerias, M.J., 2013. "Seasonal anomalies in electricity intensity across Chinese regions," Applied Energy, Elsevier, vol. 112(C), pages 1548-1557.
    3. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    4. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "The Extended Holiday Effect on US capital market," MPRA Paper 100463, University Library of Munich, Germany, revised 17 May 2020.
    5. Ramona Dumitriu & Razvan Stefanescu, 2019. "Stock Prices Behavior Before and After Friday the 13th," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 20-30.
    6. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    7. Maria Jesus Herrerias and Eric Girardin, 2013. "Seasonal Patterns of Energy in China," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    8. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.

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    More about this item

    Keywords

    Calendar effects; Market anomalies; Market efficiency; C12; C22; G14;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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