Seasonality and the Australian Stockmarket

by Michael Knox

Stockmarket seasonality, like Paris Hilton, is something that is inflicted on us by the Americans.

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In Figure 1, we see the average monthly rates of change of the ASX200 over the 10 year period from 1997 to 2006. Many commentators, including sometimes us, show seasonal variation as an average level of a seasonal index. The most important seasonal effect is really the monthly rate of change instead of the monthly level. The monthly rate of change is statistically acceptable at the 99.87% confidence level (t statistic of 3.28). The monthly level of the index is not statistically acceptable at any level.

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