Stock market seasonality in Malaysia, Singapore, Hong Kong and Thailand: new evidence using daily returns

Abstract

Stock market seasonality in four Far-Eastern markets is investigated in this study. Specifically, two analyses are carried out; i) analysis of the January effect, and ii) analysis of the Chinese New Year (CNY) effect The evidence suggests that the January effect does not exist in Malaysia and Thailand. Instead, it is found that there are strong December and February effects in Malaysia. In Thailand, no month shows any different returns than the others The January effect, however, is found in Singapore and Hong Kong. December and May also have statistically higher returns than the other months in Singapore. The January effect is most pronounced in Hong Kong In addition, April returns are also high, which may indicate the relevance of the tax-loss selling hypothesis here. An analysis of the CNY effect reveals that three markets which have a large Chinese involvement, show significant positive returns surrounding the celebration. In Malaysia, it is found that the effect is especially more pronounced five days after the market is open following the CNY holidays. Daily returns 40 days preceding the first day of the CNY are also high. The CN'Y effect is also observed in Singapore and Hong Kong. However, unlike that in Malaysia, the markets in Singapore and Hong Kong show a more pronounced CNY effect prior to the festive season The rally starts as early as 40 days before the celebration The effect, however, is not strong after the market re-opens. Lastly, there is no CNY effect in Thailand One obvious reason is that this market does not have many Chinese investors.