• Corpus ID: 54518916

Monthly Seasonality in the New Zealand Stock Market

  title={Monthly Seasonality in the New Zealand Stock Market},
  author={Bin Li and Benjamin Liu},
We study monthly seasonality in 4 stock market indices and 16 industry indices in the New Zealand stock market. We find that stock returns of 3 market indices and a half of the 16 industry indices are significantly negative in August, and only 4 indices have significantly positive returns in June. The negative returns in August are probably due to the fact that August is the bitterest and rainiest month of the year in New Zealand. For other months there are no typical anomalies. We do not find… 

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