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Question of the Week - May 31st 2016

How do volume and returns compare in Australia between the first trading days of the month and the last?

 

Chart 1: Average Daily Share Volume on Days 1 – 3 of the Month vs the Last Day of the Month 

 

Chart 2: Distribution of Open to Close Returns on Days 1 – 3 of the Month vs the Last Day of the Month 

 

  • We’ve heard anecdotal evidence of dramatically different trading environments in Australia during the first three days of each month compared to the last, the sentiment being that volumes and returns suffer on the last day of the month and recover during the first three days.
  • Empirical results proved the opposite to be true. The first chart shows average share volume per stock on the first three trading days of the month was lower than on the last day of the month.
  • The distribution of open to close returns, shown in the second chart, is skewed more toward negative returns on the first three trading days than on the last day.

 

Two years of data was included in the analysis, from 1/1/2014 – 12/31/2015. All Australian securities were included.

 

Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.

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