Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets |
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| Authors: | Reena Aggarwal Pietra Rivoli |
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| Institution: | Georgetown University, Washington, DC 20057. The authors thank Raj Aggarwal, Don Tuttle, and two anonymous referees for helpful comments. The extensive research assistance of Kamran Bakr is gratefully acknowledged. This project was supported in part by a summer research grant from the School of Business Administration, Georgetown University. |
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| Abstract: | The “January effect” and the “weekend effect” have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day-of-the-week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong “Tuesday effect,” which may be related to the + 13 hour time difference between New York and these emerging markets. |
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