Calendar anomalies in selected Asian stock returns

Chia , Ricky Chee Jiun (2008) Calendar anomalies in selected Asian stock returns. Masters thesis, Universiti Malaysia Sabah.

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Abstract

This study examines the calendar anomalies In selected Asian stock markets (China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, Singapore, South Korea, Taiwan and Thailand) over the period ranging from January 2000 to December 2006. The study uses the daily stock returns to examine the day-of-the-week effect; while monthly stock returns to examine the month-of-the-year effect. Using various generalized autoregressive conditional heteroskedasticity models, this study found different anomaly patterns In Asian stock markets. Among other Important findings, the evidence of negative Monday returns In Indonesia, Singapore, Taiwan and Malaysia stock markets were consistent with related literature. On the other hand, the study found January effect In Taiwan and the Philippines stock markets. The findings on the mean returns and the volatility In Asian stock markets could be useful for financial managers and international investors in designing trading strategies to reduce risk and gain abnormal profit from It Further analysis, using the EGARCH and TGARCH models, which took into account the asymmetric behavior In the Asian stock markets, may give more Information to the Investors In adjusting the Investment portfolio due to the market reactions on the positive and negative news. Finally, several strategies were developed from the findings of the day-of-the-week and month-of-the-year effects In this study.

Item Type:Thesis (Masters)
Uncontrolled Keywords:Calendar Anomalies, Day-of-the-week effect, Month-of-the-year effect, EGARCH, TGARH
Subjects:H Social Sciences > HG Finance
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:9321
Deposited By:IR Admin
Deposited On:14 Jul 2014 10:07
Last Modified:14 Jul 2014 10:07

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