| Abstract: | Previous studies have found the existence of a January effect in many Western countries. In Malaysia, local stock market commentators often talk of a Chinese New Year rally which has not been tested. This study examines empirically the existence of seasonality according to the Gregorian, Chinese and Muslim calendars in the Malaysian-stock market. The results suggest that in Malaysia, when monthly returns are measured according to different types of calendar, evidence in support of seasonality is found. In the main, a January effect, Chinese New Year effect and anAidilfitri effect are found. The Muslim calendar time effect is less widespread than the Chinese New Year and January effect. Possible reasons for the existence of the various types of seasonality, both economic and non-economic, are suggested. In a separate part of the study, a Chinese New Year effect is also found in the Singapore and Hong Kong stock markets.Ms Wong Ping Ling is a financial analyst of Dynaquest Sdn Bhd, a financial information services company in Penang, Malaysia. Dr Neoh Soon Kean is a lecturer of Science University of Malaysia, Penang. Dr Lee Kok Huat is an Associate Professor of University of Malaya. Dr Gregory Thong Tin Sin is an Associate Professor of Nanyang Technological Institute. This paper is mainly an extract from a MBA dissertation submitted to the University of Malaya. The authors would like to thank Ms Ng Poh Wah for her assistance in preparing this paper and Dynaquest Sdn Bhd for providing the facilities. |
