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Intra-Week Regularities in Security Returns: Further Australian Evidence
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Frank J. Finn, Anthony Lynch and Simon Moore
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Abstract
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This paper provides further evidence on short-term seasonals in returns on equity and fixed interest securities and futures on fixed interest securities in the Australian market. The significant result is that daily seasonals are found in fixed interest securities and are qualitatively the same as for equity returns, high Thursday and low Tuesday returns. But the interest rate seasonal does not appear to explain the equity seasonal. Further, while no seasonal was evident in returns on futures on fixed interest securities, the futures market showed a seasonal in daily variances of returns.
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Keywords
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SECURITY RETURNS; DAILY SEASONALS; INTRA-WEEK RETURNS.
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Contact Details
Frank J. Finn
Department of Commerce
University of Queensland
QLD 4072
Anthony Lynch
Graduate School of Business
University of Chicago
U.S.A.
Simon Moore
Department of Commerce
University of Queensland
QLD 4072
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We wish to thank Ray Ball and two anonymous referees for their comments on an earlier draft. Thanks are also due to Macquarie Bank Ltd. for supplying some of the data for the study. The second author was at the School of Accountancy, Queensland University of Technology while earlier drafts of this paper were written.
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