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  • Monthly seasonality in the top 50 Australian stocks

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    70288_1.pdf (181.9Kb)
    Author(s)
    Liu, Benjamin
    Li, Bin
    Griffith University Author(s)
    Liu, Benjamin
    Li, Bin
    Year published
    2011
    Metadata
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    Abstract
    We studied monthly seasonality in the top 50 Australian stocks across different industry sectors. Unlike other Australian studies, we examined monthly seasonality using stock return data of individual companies for the period of January 1980 through to August 2010. We found that stock returns of over half of the 50 companies are significantly positive in April and December, and most companies have low stock returns in October. Seven companies have higher returns in April than in other months of the year, most of which are banking and financial services companies, while six companies have lower returns in February than ...
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    We studied monthly seasonality in the top 50 Australian stocks across different industry sectors. Unlike other Australian studies, we examined monthly seasonality using stock return data of individual companies for the period of January 1980 through to August 2010. We found that stock returns of over half of the 50 companies are significantly positive in April and December, and most companies have low stock returns in October. Seven companies have higher returns in April than in other months of the year, most of which are banking and financial services companies, while six companies have lower returns in February than in other months. Although Australia has a July-June taxation cycle, we found that only three stocks have a July anomaly. The findings are inconsistent with the tax-loss selling hypothesis and other studies on the Australian equity markets (e.g., Brown, Keim, Kleidon, & Marsh, 1983; Brailsford & Easton, 1991). However, our findings are generally consistent with Bonin and Moses (1974) on individual stock seasonality.
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    Journal Title
    Journal of Modern Accounting and Auditing
    Volume
    7
    Issue
    4
    Publisher URI
    http://www.davidpublishing.com/davidpublishing/journals/J2/acc2011/accountant2011/414.html
    Copyright Statement
    © 2011 David Publishing. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Finance
    Accounting, Auditing and Accountability
    Business and Management
    Publication URI
    http://hdl.handle.net/10072/40910
    Collection
    • Journal articles

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