The Month-of-the-year Effect in the Australian Stock Market: A Short Technical Note on the Market, Industry and Firm Size Impacts
Year: 2011
Type: article
Abstract: This short note examines the month-of-the-year effect in Australian daily returns using a regression-basedapproach. The results indicate that marketwide returns are significantly higher in April, July and Decembercombined with evidence of a small cap effect with systematically higher returns in January, August, andDecember. The analysis of the sub-market returns is also supportive of disparate month-of-the-year effects.However, only in the case of small cap firms and the telecoms industry do these coincide with the higherreturns associated with the January effect as typified in work elsewhere.This
Authors: George Marrett, Andrew Worthington
Institutions: University of Wollongong, Griffith University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W150926658