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The diminishing calendar anomalies in the stock exchange of Singapore

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  • Ruth Seow Kuan Tan
  • Wong Nee Tat

Abstract

This study examines the daily stock returns in the Singapore market over a 20 year period from 1975 to 1994. Results indicate the existence of four calendar anomalies. They are the January effect, the day-of-the-week effect, the turn-of-the-month effect and the holiday effect. Subperiod analysis, however, reveals a weakening of these anomalies over time.

Suggested Citation

  • Ruth Seow Kuan Tan & Wong Nee Tat, 1998. "The diminishing calendar anomalies in the stock exchange of Singapore," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 119-125.
    • Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:119-125
    DOI: 10.1080/096031098333096
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    Cited by:

    1. Dumitriu, Ramona & Stefanescu, Răzvan, 2019. "The extended Friday the 13th Effect in the US stock returns," MPRA Paper 95296, University Library of Munich, Germany, revised 22 Jul 2019.
    2. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    3. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    4. Nickolaos Tsangarakis, 2007. "The day-of-the-week effect in the Athens Stock Exchange (ASE)," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1447-1454.
    5. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
    6. Shiok Ye Lim & Chong Mun Ho & Brian Dollery, 2010. "An empirical analysis of calendar anomalies in the Malaysian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 255-264.
    7. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    8. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    9. Olson, Dennis & Mossman, Charles & Chou, Nan-Ting, 2015. "The evolution of the weekend effect in US markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 56-63.

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