Gultekin, M. N. and N. B. Gultekin (1983). "Stock market seasonality: International Evidence." Journal of Financial Economics 12(4): 469-481.
    This study examines empirically stock market seasonality in major industrialized countries. Evidence is provided that there are strong seasonalities in the stock market return distributions in most of the capital markets around the world. The seasonality, when it exists, appears to be caused by the disproportionately large January returns in most countries and April returns in the U.K. With the exception of australia, these months also coincide with the turn of the tax year.


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http://www.sciencedirect.com/science/article/pii/0304405X83900442