Woollcombe, N. (2020). Seasonality in equities traded on the Toronto Stock Exchange between 1980 and 2019. The Young Researcher, 4 (1), 164-177.

Abstract
This study investigates the day-of-the-week and month-of-the-year effects for equities traded on the Toronto Stock Exchange (TSX) between January 1, 1980, and December 31, 2019. As a conduit for the average price of stocks traded on the exchange, the S&P/TSX Composite Index (INDEXTSI: OSPTX) is used. The findings show that for the day-of-the-week effect, Mondays have underperformed while Fridays have overperformed. It is found that the day-of-the-week effect is present on the Toronto Stock Exchange at the 95th confidence level. Conversely, month-of-the-year effects are inconclusive; only one of three tests support the existence of the anomaly. Historical analysis shows that a $100.00 investment in the S&P/TSX Composite Index would have grown to $888.69 from January 1, 1980, to December 31, 2019, in a simple buy-and-hold strategy. However, if an inves-
tor had adopted this paper’s findings, they would have turned that same $100.00 investment into $3,444.49.

Keywords: Market anomalies, Toronto Stock Exchange, Day-of-the-week effect, Month-of-the-year effect, Market efficiency. 

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