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Stock returns seasonality in emerging asian markets

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Abstract

This study examines the presence of the “month of the year effect” in the six emerging Asian stock markets (India, Indonesia, Japan, Malaysia, Philippines, and South Korea) for the period January, 1991 to November, 2020 using GARCH (1, 1), EGARCH (1, 1) and TGARCH (1, 1) models. The empirical results indicate the existence of “month of the year effects” on stock returns and volatility of all the emerging Asian stock markets except Japan. The study reveals a positive and significant January effect for each country except Japan. February, April and July effects are positive and significant only in the case of Indonesia, South Korea and Malaysia respectively. The findings confirm the persistence of ARCH and GARCH effects in the monthly return series. Moreover, the asymmetric GARCH models show that the emerging Asian stock market returns exhibit asymmetric (leverage) effect. The seasonal or monthly effect in stock markets in Emerging Asian countries poses an important research question as Emerging Asia’s economic footprint has been growing significantly. The findings of the study have important implications for active and profitable trading strategies.

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Authors and Affiliations

  1. Department of Commerce, P.G.D.A.V. College (University of Delhi), Nehru Nagar, 110065, New Delhi, India

    Khushboo Aggarwal

  2. Department of Statistics, P.G.D.A.V. College (University of Delhi), Nehru Nagar, 110065, New Delhi, India

    Mithilesh Kumar Jha

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  1. Khushboo Aggarwal
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Aggarwal, K., Jha, M.K. Stock returns seasonality in emerging asian markets. Asia-Pac Financ Markets 30, 109–130 (2023). https://doi.org/10.1007/s10690-022-09370-y

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