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Stock returns seasonality in emerging asian markets

Author

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  • Khushboo Aggarwal

    (P.G.D.A.V. College (University of Delhi))

  • Mithilesh Kumar Jha

    (P.G.D.A.V. College (University of Delhi))

Abstract

This study examines the presence of the “month of the year effect” in the six emerging Asian stock markets (India, Indonesia, Japan, Malaysia, Philippines, and South Korea) for the period January, 1991 to November, 2020 using GARCH (1, 1), EGARCH (1, 1) and TGARCH (1, 1) models. The empirical results indicate the existence of “month of the year effects” on stock returns and volatility of all the emerging Asian stock markets except Japan. The study reveals a positive and significant January effect for each country except Japan. February, April and July effects are positive and significant only in the case of Indonesia, South Korea and Malaysia respectively. The findings confirm the persistence of ARCH and GARCH effects in the monthly return series. Moreover, the asymmetric GARCH models show that the emerging Asian stock market returns exhibit asymmetric (leverage) effect. The seasonal or monthly effect in stock markets in Emerging Asian countries poses an important research question as Emerging Asia’s economic footprint has been growing significantly. The findings of the study have important implications for active and profitable trading strategies.

Suggested Citation

  • Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    • Handle: RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09370-y
    DOI: 10.1007/s10690-022-09370-y
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    1. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.

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    More about this item

    Keywords

    Efficient market; Month of the year effect; OLS model; GARCH models; Emerging Asian Countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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