Asia Pacific Journal of Management

, Volume 13, Issue 2, pp 1–24 | Cite as

Seasonality and cultural influences on four Asian stock markets

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


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.


Stock Market Capitalization Stock Stock Exchange Cultural Influence Daily Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    Agrawal, A and Tandon, K, 1994, Anomalies or illusions? Evidence from stock markets in eighteen countries,Journal of International Money and Finance, 14, 83–106.Google Scholar
  2. 2.
    Ariel, R A, 1990, High stock returns before holidays: Existence and evidence on possible causes,The Journal of Finance, 45, 1611–26.Google Scholar
  3. 3.
    Bailey, Warren and Jagtiani, Julapa, 1994, Foreign ownership restrictions and stock prices in the Thai capital market,Journal of Financial Economics, 36, 57–87.Google Scholar
  4. 4.
    Berges, Angel, McConnell, John J and Schlarbaum, Gary, 1984, The-turn-of-the-year in Canada,The Journal of Finance, 39, 185–92.Google Scholar
  5. 5.
    Branch, B, 1977, A tax selling loss trading rule,Journal of Business, 50, 198–207.Google Scholar
  6. 6.
    Cadsby, C B and Ratner, M, 1992, Turn-of-month and pre-holiday effects in stock returns,Journal of Banking and Finance, 16, 497–509.Google Scholar
  7. 7.
    Fields, M J, 1931, Stock prices: A problem in verification,Journal of Business, 4, 415–18.Google Scholar
  8. 8.
    Fields, M J, 1934, Security prices and stock exchange holidays in relation to short selling,Journal of Business, 7, 328–38.Google Scholar
  9. 9.
    French, K, 1980, Stock returns and the weekend effect,Journal of Financial Economics, 8, 55–69.Google Scholar
  10. 10.
    Gultekin, M N and Gultekin, N B, 1983, Stock market seasonality: International evidence,Journal of Financial Economics, 12, 469–81.Google Scholar
  11. 11.
    Jaffe, Jeffrey and Westerland, Randolph, 1985, Patterns in Japanese common stock returns: Day-of-the-week and turn of the year effects,Journal of Financial and Quantitative Analysis, 20, 261–72.Google Scholar
  12. 12.
    Jegadeesh, Narasimhan, 1991, Seasonality in stock market price reversion: Evidence from the US and the UK,The Journal of Finance, 46, 1427–44.Google Scholar
  13. 13.
    Kato, K and Schallheim, James S, 1985, Seasonal and size anomalies in the Japanese stock market,Journal of Financial and Quantitative Analysis, 20, 243–60.Google Scholar
  14. 14.
    Keim, D B, 1983, Size related anomalies and stock market seasonality: Further empirical evidence,Journal of Financial Economics, 12, 13–32.Google Scholar
  15. 15.
    Keim, D B and Smirlock, Michael, 1987, The behaviour of intraday stock index futures,Prices Advances in Operations Research, 2, 143–66.Google Scholar
  16. 16.
    Kelly, A, Dresser, P and Ross, Linda, 1993,Religious Holidays and Calendars: An encyclopedic handbook, Detroit, Omnigraphics.Google Scholar
  17. 17.
    Lee, Cheng Few, Gili Yen and Chingfu Chang, 1992, The Chinese New Year, Common Stock Purchasing and Cumulative Raw Returns: Is Taiwan's Stock Market Informationally Efficient? in Klaus Fischer and Papaioannou, George, ed,Business Finance in Less Developed Capital Markets, Westport, Greenwood Press, 101–5.Google Scholar
  18. 18.
    Lee, Cheng Few, Gili Yen and Chingfu Chang, 1993, Informational efficiency of capital markets revisited: Anomalous evidence from a refined test,Advances in Quantitative Analysis of Finance and Accounting, 2: A, 669–90.Google Scholar
  19. 19.
    Parise, Frank, 1982,The Book of Calendars, New York, Facts Onfile.Google Scholar
  20. 20.
    Reinganum, M R, 1983, The Anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects,Journal of Financial Economics, 12, 89–104.Google Scholar
  21. 21.
    Stoll, H R and Whaley, Robert, 1983, Transactions costs and the small firm effect,Journal of Financial Economics, 12, 57–79.Google Scholar
  22. 22.
    Tong, Wildon H S, 1992, An analysis of the January effect of the United States, Taiwan and South Korean stock returns,Asia Pacific Journal of Management, 9, 189–207.Google Scholar
  23. 23.
    Wachtel, S B, 1942, Certain observations on seasonal movements in stock prices,Journal of Business, 15, 184–93.Google Scholar
  24. 24.
    Wong, P L, Neoh, S K, Lee, K H and Thong, T S, 1990, Seasonality in the Malaysian stock market,Asia Pacific Journal of Management, 7, 43–62.Google Scholar
  25. 25.
    Yen and Shyy, 1993, Chinese New Year effect in Asian stock markets,Taiwan National University Management Journal, 4:1, 417–36.Google Scholar

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

Personalised recommendations