Asia Pacific Journal of Management

, Volume 13, Issue 2, pp 1–24

Seasonality and cultural influences on four Asian stock markets

  • M. W. L. Chan
  • Anya Khanthavit
  • Hugh Thomas

DOI: 10.1007/BF01733814

Cite this article as:
Chan, M.W.L., Khanthavit, A. & Thomas, H. Asia Pacific J Manage (1996) 13: 1. doi:10.1007/BF01733814


We use daily returns to identify seasonality on the Kuala Lumpur Stock Exchange (KLSE), The Stock Exchange, Bombay (SEB), the Stock Exchange of Singapore (SES) and The Stock Exchange of Thailand (SET). On all four, we find strong day-of-the-week effects. Month-of-the-year effects exist on the KLSE and the SES but not on the SET or the BSE. Strong Chinese New Year effects are evident on the SES and the KLSE. The Chinese New Year effect on the SET is among small capitalization stocks. On the KLSE, we also find Islamic New Year and Vesak effects, but no Aidilfitri effect. Only weak holiday effects concerning several Indian lunar holidays are evident on the BSE. In general we find that cultural holidays evidence a stronger effect than state holidays. These results confirm the importance of cultural influences in the pricing of stocks.

Copyright information

© Faculty of Business Administration National University of Singapore 1996

Authors and Affiliations

  • M. W. L. Chan
  • Anya Khanthavit
  • Hugh Thomas

There are no affiliations available