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Seasonal anomalies in emerging markets: an empirical analysis for Indonesia

Author

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  • Dinesh Jaisinghani
  • Mahesh Ramalingam
  • Muskan Kaur

Abstract

The prime objective of the current study is to test prominent seasonal anomalies for Indonesian securities markets, which are mostly reported for advanced markets. The closing values of nine different indices of the Indonesia Stock Exchange have been considered for the analyses. The time frame of 2005 to 2017 has been utilised to estimate the results. Four major calendar anomalies, including the day of the week effect, the month of the year effect, the Halloween effect, and the trading month effect, have been tested. The study also tests the incidence of volatility clustering and whether this clustering differs across positive and negative news. This has been achieved by deploying the threshold generalised autoregressive conditional heteroscedasticity (T-GARCH) model. The results of calendar anomalies tests indicate the presence of strong day-of-the-week effect. The results also lend weak support to the Halloween effect. However, the results do not support the presence of the month-of-the-year effect and the trading-month effect. The results of volatility clustering are highly significant, and it is also observed that volatility clustering varies significantly across positive and negative news.

Suggested Citation

  • Dinesh Jaisinghani & Mahesh Ramalingam & Muskan Kaur, 2022. "Seasonal anomalies in emerging markets: an empirical analysis for Indonesia," International Journal of Business and Globalisation, Inderscience Enterprises Ltd, vol. 32(2/3), pages 120-140.
    • Handle: RePEc:ids:ijbglo:v:32:y:2022:i:2/3:p:120-140
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