Stock market seasonality: some evidence from the Pacific-Basin countries

Abstract

This paper examines the turn-of-the-year effects and relationships of stock market performances in five Pacific-Basin countries: Hong Kong, Japan, Korea, Singapore, and Taiwan. The results Indicate statistically significant positive January returns for all of the sample countries except Korea and significant positive December returns for Hong Kong, Korea, and Japan. These findings are not entirely consistent with the seasonal effects found in the U.S.. where lower December returns and higher January returns are persistent The results also suggest that stock market performances among these countries are closely related, indicated by statistically significant positive correlations in seven out of ten possible return combinations. In particular, Hong Kong-Singapore and Japan Singapore returns appear to be the most highly correlated, while Hong Kong-Korea and Taiwan-Korea return combinations are insignificant, which may be due to the restriction on direct foreign equity investments in Korea and Taiwan. Finally, high correlations between markets in Japan and those of other countries seem to indicate Japan's potential influence in the Pacific-Basin region.