An investigation of the intraweek, intramonth and January behaviour of an index of Australian stocks

Lynch, A. W. (1985). An investigation of the intraweek, intramonth and January behaviour of an index of Australian stocks Honours Thesis, School of Business, The University of Queensland.

       
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Author Lynch, A. W.
Thesis Title An investigation of the intraweek, intramonth and January behaviour of an index of Australian stocks
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1985
Thesis type Honours Thesis
Total pages 79
Language eng
Subjects 14 Economics
Formatted abstract This thesis documents the intertemporal behaviour of an index of Australian stocks. Using an adjusted Statex Accumulation Index over the period 1974-1984, an intraweek and an intramonth effect are found. Heteroscedasticity and autocorrelation are both corrected. The January effect disappears for the sample period when those breaches are corrected. None of the above results warrant the conclusion of an anomaly. Instead, an explanation that the expected return on the market is systematically shifting is proposed. Such an explanation is consistent with CAPM.

 
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