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Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets

Author

Listed:
  • Shiok Ye Lim

    () (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Ricky Chee-Jiun Chia

    () (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

Abstract

To challenge the appropriateness of the theory of the weak-form market efficiency, this study examines the day-of-the-week effect and the twist-of-the-Monday effect for the ASEAN – 5 stock markets for the period June 10, 2002 through August 21, 2009. Our Kruskal-Wallis statistic test finds support for the day-of-the-week effect in Malaysia and Thailand stock markets. In addition, the Wilcoxon Rank Sum Test shows that Monday has significantly lower returns compared to Thursday and Friday returns in Malaysian stock market. On the other hand, Friday has the highest returns in a week and this is significantly different compared with other days in Thailand stock market. This study also found evidence on the twist-of-the-Monday effect, where returns on Mondays are influenced by the previous week's returns in Indonesia, Malaysia and the Philippines stock markets.

Suggested Citation

  • Shiok Ye Lim & Ricky Chee-Jiun Chia, 2010. "Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets," Economics Bulletin, AccessEcon, vol. 30(2), pages 996-1005.
  • Handle: RePEc:ebl:ecbull:eb-09-00761
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I2-P93.pdf
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    References listed on IDEAS

    as
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    12. repec:bbz:fcpbbr:v:5:y:2008:i:3:p:233-241 is not listed on IDEAS
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    Cited by:

    1. Rayenda Brahmana & Chee Wooi Hooy & Zamri Ahmad, 2014. "The Role of Weather on Investors’ Monday Irrationality: Insights from Malaysia," Contemporary Economics, University of Finance and Management in Warsaw, vol. 8(2), June.
    2. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo Group Munich.

    More about this item

    Keywords

    Calendar Anomalies; Day-of-the-week; Twist-of-the-Monday; Non-parametric test;

    JEL classification:

    • G0 - Financial Economics - - General

    Statistics

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