Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets

39 Pages Posted: 20 Aug 2015

See all articles by Mostafa Seif

Mostafa Seif

University of Newcastle (Australia) - Newcastle Business School

Paul Docherty

Monash University

Abul Shamsuddin

University of Newcastle (Australia) - Newcastle Business School

Date Written: August 20, 2015

Abstract

Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing seasonal anomaly in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for seasonality anomaly. This study examines the efficiency of advanced emerging markets by testing five important seasonal anomalies: the month of the year, other January, day-of-the-week, holiday and week 44 effects. For each market, we use over two decades of stock return data denominated in both US dollars and the local currency to examine seasonal anomalies in returns and volatility. We find strong evidence of higher December returns in advanced emerging markets. The 44th week of the year consistently yields higher stock returns in eight out of nine advanced emerging markets. Our data also confirms the existence of the day of the week effect in six out of nine countries in the sample. In particular, Fridays tend to have higher while Mondays tend to have lower stock returns. We also find a strong holiday effect in seven countries in our sample. However, our data is unable to support the existence of the other January effect in advanced emerging markets, which may be due to the lack of institutional investors participating in these markets.

Keywords: Anomalies, Stock market seasonality, Emerging markets

JEL Classification: G11, G14, G15

Suggested Citation

Seif, Mostafa and Docherty, Paul and Shamsuddin, Abul, Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets (August 20, 2015). Available at SSRN: https://ssrn.com/abstract=2647950

Mostafa Seif (Contact Author)

University of Newcastle (Australia) - Newcastle Business School ( email )

City Campus East – 231
Newcastle-Upon-Tyne NE1 8ST, NE1 8ST
Australia

Paul Docherty

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Abul Shamsuddin

University of Newcastle (Australia) - Newcastle Business School ( email )

City Campus East – 231
Callaghan, NSW 2308
Australia

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