Seasonality in the Asia Pacific stock markets

Article


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

Seasonality in the Asia Pacific stock markets

ERA Journal ID35934
Article CategoryArticle
AuthorsYakob, Noor Azuddin (Author), Beal, Diana (Author) and Delpachitra, Sarath (Author)
Journal TitleThe Journal of Asset Management
Journal Citation6 (4), pp. 298-318
Number of Pages21
Year2005
Place of PublicationBasingstoke, Hampshire, U.K.
ISSN1470-8272
1479-179X
Web Address (URL)http://www.palgrave-journals.com/jam/index.html
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.

Keywordsseasonality; calendar effects; Asia Pacific; stock markets; GARCH; market efficiency
ANZSRC Field of Research 2020380110. International economics
380202. Econometric and statistical methods
380205. Time-series analysis
Byline AffiliationsDepartment of Finance and Banking
School of Accounting, Economics and Finance
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