Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

Chris Brooks, Gitanjali Persand

Research output: Contribution to journalArticle (Academic Journal)peer-review

67 Citations (Scopus)

Abstract

This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.
Original languageEnglish
Pages (from-to)155-158
Number of pages4
JournalApplied Economics Letters
Volume8
Issue number3
DOIs
Publication statusPublished - 2001

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