Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets

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Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets

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Aggarwal, Reena
Rivoli, Pietra

Abstract

The "January effect" and the "weekend effect" have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day-of-the-week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong "Tuesday effect," which may be related to the +13 hour time difference between New York and these emerging markets. Copyright 1989 by MIT Press.

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Article provided by Eastern Finance Association in its journal The Financial Review.

Volume (Year): 24 (1989)
Issue (Month): 4 (November)
Pages: 541-50
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:finrev:v:24:y:1989:i:4:p:541-50

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