Seasonality in Australian capital markets. Market efficiency and empirical issues

Officer R.R. (1975) Seasonality in Australian capital markets. Market efficiency and empirical issues. Journal of Financial Economics, 2 1: 29-51. doi:10.1016/0304-405X(75)90022-7


Author Officer R.R.
Title Seasonality in Australian capital markets. Market efficiency and empirical issues
Journal name Journal of Financial Economics   Check publisher's open access policy
ISSN 0304-405X
Publication date 1975
Sub-type Article (original research)
DOI 10.1016/0304-405X(75)90022-7
Volume 2
Issue 1
Start page 29
End page 51
Total pages 23
Subject 1402 Applied Economics
1408 Strategy and Management
2002 Cultural Studies
2003 Language Studies
Abstract Following a report of a possible seasonal in Australian share prices [Praetz (1973)], a study was made of the behaviour of share returns using different data and methodology to that of the original report. The test included forecasts of the seasonal using Box and Jenkins methods. Although the results indicate some evidence of a seasonal, it is shown that this is not prima facie evidence of market inefficiency. It is suggested that a more likely explanation is related to the structure of the economy, e.g., changing opportunity cost of money through the year.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: Scopus Import
 
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Created: Tue, 12 Jul 2016, 02:00:34 EST by System User