Seasonality in the Asia Pacific stock markets

Yakob, Noor Azuddin and Beal, Diana and Delpachitra, Sarath (2005) Seasonality in the Asia Pacific stock markets. Journal of Asset Management, 6 (4). pp. 298-318. ISSN 1470-8272

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Abstract

This paper examines the issue of stock market seasonality in the Asia Pacific stock market. Using the most recent set of data, the paper employs the GARCH(1,1) and GARCH(1,1)-M models to study the day-of-the-week, month-of-the-year, monthly and holiday effects in ten Asia Pacific countries, namely Australia, China, Hong Kong, Japan, India, Indonesia, Malaysia, Singapore, South Korea and Taiwan. Overall, evidence to support the presence of day-of-the-week effect is documented in five countries, month-of-the-year effect is detected in eight countries, monthly effect is reported in six countries and holiday effect is found in four countries. In most cases, the calendar effects cannot be associated with conditional risk. This study shows that stock market seasonality is a global phenomenon, and it continues to persist today. Although the presence of seasonality implies a lack of informational efficiency in the respective stock market, this study does not refute the validity of the Efficient Market Hypothesis, as the presence of significant returns is not tantamount to abnormal profits. Further studies are necessary to ensure that stock market seasonality can yield significant returns in excess of transaction costs.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Depositing User: epEditor USQ
Faculty / Department / School: Historic - Faculty of Business - Department of Finance and Banking
Date Deposited: 11 Oct 2007 00:30
Last Modified: 02 Jul 2013 22:34
Uncontrolled Keywords: seasonality; calendar effects; Asia Pacific; stock markets; GARCH; market efficiency
Fields of Research (FOR2008): 14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance
14 Economics > 1403 Econometrics > 140302 Econometric and Statistical Methods
14 Economics > 1403 Econometrics > 140305 Time-Series Analysis
Socio-Economic Objective (SEO2008): B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
URI: http://eprints.usq.edu.au/id/eprint/882

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