Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

Chris Brooks · Gita Persand

189 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.

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References

1980Stock returns and the weekend effect 1978Some anomalous evidence regarding market efficiency 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1985The Week-End Effect in Common Stock Returns: The International Evidence 1987The distribution of earnings news over time and seasonalities in aggregate stock returns

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