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Full Length Research Paper
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Month-of-the-year effects in Asian countries: A 20-year
study (1990-2009)
Lim Boon Keong*, David Ng Ching Yat
and Chong Hui Ling
Faculty of Accountancy and Management, University Tunku
Abdul Rahman,
Malaysia.
*Corresponding author. E-mail:
dericlim.pcs2@gmail.com.
Accepted 3 June, 2010 |
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Abstract |
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This paper investigates the presence of the month-of-the-year
effect on stock returns and volatility in eleven Asian
countries- Hong Kong, India, Indonesia, Japan, Malaysia, Korea,
Philippines, Singapore, Taiwan, China and Thailand. GARCH (1,1)
model is used to analyze the pattern of the stocks returns for a
period of twenty years (1990-2009). Results obtained exhibit
positive December effect, except for Hong Kong, Japan, Korea,
and China. Meanwhile, few countries do carry positive January,
April, and May effect and only Indonesia demonstrates negative
August effect.
Key words:
Month-of-the-year effect, Asian countries, GARCH (1,1) model. |
