Month-of-the-year effects in Asian countries: A 20-year study (1990-2009)

This paper investigates the presence of the month-of-the-year effect on stock returns and volatility in eleven Asian countries- Hong Kong, India, Indonesia, Japan, Malaysia, Korea, Philippines, Singapore, Taiwan, China and Thailand. GARCH (1,1) model was used to analyze the stock returns pattern for a period of twenty years (1990-2009). Results obtained exhibit positive December effect, except for Hong Kong, Japan, Korea, and China. Meanwhile, few countries do have positive January, April, and May effect and only Indonesia demonstrates negative August effect.