Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2016 | Vol. 16, No 6 | 17--32
Tytuł artykułu

Do monthly anomalies still exist as a profitable investment strategy: Evidence based on the Singapore stock market

Treść / Zawartość
Warianty tytułu
Języki publikacji
The presence of various calendar anomalies in the stock markets is a well-documented fact. We focus our efforts through this study to reveal any semi-monthly anomaly or turn of the month anomaly hidden in the Singapore stock market, by analysing the FTSE Strait Times data during the period 1995 to 2015, using both the calendar day approach and trading day approach. The resulting analysis discloses some startling findings including the presence of a 'reverse' turn of the month anomaly. Significant semi-monthly anomaly is not present in the market, even though the mean percentage returns during the first and second half show high relative difference. Based on these findings, a profitable trading strategy evolves which is to purchase shares representative of the index during the turn of the month and to sell them during the first half of the month. This study widens the path for further research regarding these and similar anomalies in related markets around the world.(original abstract)
Opis fizyczny
  • Viswajyothi College of Engineering and Technology, Muvattupuzha, Kerala, India
  • Aggarwal, R., Rao R.P. and Hiraki T. (1990). Regularities in Tokyo Stock Exchange Security Returns: P/E, Size and Seasonal Influences. Journal of Financial Research, 13, 249-263.
  • Ariel, R. (1987). A Monthly Effect in Stock Market Returns. Journal of Financial Economics, 18, 675-696.
  • Barone, E. (1990). The Italian Stock Market - Efficiency and Calendar Anomalies. Journal of Banking and Finance, 14, 483-510.
  • Bentzen, E. (2009). Seasonality in Stock Returns. Applied Financial Economics, 19, 1605-1609.
  • Bonin, J.M. and Moses, E.A., (1974). Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks. Journal of Financial and Quantitative Analysis, 9, 963-91.
  • Brown, P., Keim, D., Kleidon, A. and Marsh, T. (1983). Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence. Journal of Financial Economics, 12, 105- 127.
  • Cadsby, C B and Ratner, M. (1992). Turn-of-Month and Pre-holiday Effects on Stock Returns: Some International Evidence. Journal of Banking and Finance, 16, 497-509.
  • Cai, J., Li Y. and Qi Y., (2006). The Day-of-the-Week Effect: New Evidence from the Chinese Stock Market. The Chinese Economy, 39, 71-88.
  • Chang, E., Pinegar J. and Ravichandran R. (1993). International Evidence on the Robustness of the Day-of-the-Week Effect. Journal of Financial and Quantitative Analysis, 28, 497- 513.
  • Chen, H., & Singal V. (2003). Role of speculative short sales in price formation: The case of the weekend effect. The Journal of Finance, 58, 685-705.
  • Choa Y-H., Lintonb O. And Whangc Y.J. (2007). Are there Monday effects in stock returns: A stochastic dominance approach. Journal of Empirical Finance, 14 (5), 736-755.
  • Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29, 67-69.
  • Doyle, J.R. and Chen C.H. (2007). The Wandering Weekday Effect in Major Stock Markets. Journal of Banking and Finance, 33, 1388-1399.
  • Dzhabarov, C. and Ziemba, W.T. (2010). Do Seasonal Anomalies Still Work?. Journal of Portfolio Management, 36(3), 93-104.
  • French, K.R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8, 55-69.
  • Gibbons, M., and P. Hess. (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54, 579-596.
  • Gultekin, M. and Gultekin, B. (1983). Stock Market Seasonality: International Evidence. Journal of Financial Economics, 12, 469 - 482.
  • Hamori, S. (2001). Seasonality and stock returns: Some evidence from Japan. Japan and the World Economy, 13, 463-481.
  • Hensel, C.R. and William, T. Z (1996). Investment Results from Exploiting Turn-ofthe- Month Effects. The Journal of Portfolio Management, Spring-1996, 17-23.
  • Heston, S.L. and Sadka, R. (2008). Seasonality in the Cross-section of Stock Returns. Journal of Financial Economics, 87, 418-445.
  • Hindmarch, S., Jentsch, D. and Drew, D. (1984). A Note on Canadian Stock Returns and the Weekend Effect. Journal of Business Administration, 14, 163-172.
  • Ho, Y-K. (1990). Stock return seasonalities in Asia Pacific markets. Journal of International Financial Management and Accounting, 2(1), 47-77.
  • Jaffe, J. and Westerfield, R.(1989). Is There a Monthly Effect in Stock Market Returns?. Journal of Banking and Finance, 13, 237-244.
  • Kamara, A. (1997). New Evidence on the Monday Seasonal in Stock Returns. The Journal of Business, 70(1), 63-84.
  • Kato, K. and Schallheim, J. S. (1985). Seasonal and size anomalies in the Japanese stock market. Journal of Financial and Quantitative Analysis, 20(2), 243-260.
  • Keim, D., and Stambaugh R. (1984). A Further Investigation of the Weekend Effect in Stock Returns. Journal of Finance, 39, 819-835.
  • Kemmerer, E.W. (1911). Seasonal Variations in the New York Money Market. American Economic Review, 1, 33-49.
  • Kunkel, R.A., Compton, W.S. and Beyer, S. (2003). The turn-of-the-month effect still lives: the international evidence. International Review of Financial Analysis, 137, 1-15.
  • Lakonishok, J. and Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety Year Perspective. Review of Financial Studies, 1, 403-25.
  • Lauterbach, B. and Ungar, M. (1992). Calendar anomalies: Some perspectives from the behaviour of the Israeli stock market. Applied Financial Economics, 2, 57-60.
  • Lewis, M. (1989). Stock Market Anomalies: A Re-Assessment based on The U.K. Evidence. Journal of Banking & Finance, 13(4-5), 675-696.
  • Lim, S. Y., Ho, C.M. and Dollery, B. (2010). An Empirical Analysis of Calendar Anomalies in the Malaysian Stock Market. Applied Financial Economics, 20, 255-264.
  • Liu, B. and Li, B. (2010). Day-of-the-Week Effects: Another Evidence from Top 50 Australian Stocks. European Journal of Economics, Finance and Administrative Sciences, 24, 78-87.
  • Lucey, B. M. and Whelan, S. (2004). Monthly and semi-annual seasonality in the Irish equity market 1934-2000. Applied Financial Economics, 14, 203-208.
  • Marquering, W., Nisser, J. & Valla, T. (2006). Disappearing anomalies: A dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16, 291-302.
  • McConnell, J.J., Xu, W., (2008). Equity Returns at the Turn of the Month. Financial Analysts Journal, 64, 49-64.
  • Mills, T. C., Siriopoulos, C., Markellos, R. N. and Harizanis, D. (2000). Seasonality in the Athens Stock Exchange. Applied Financial Economics, 10, 137-142.
  • Mougoué, M. (1996). Seasonalities in the Taiwanese stock market. American Business Review, 14,73-79.
  • Officer, R. (1975). Seasonality in Australian Capital Markets: Market Efficiency and Empirical Issues. Journal of Financial Economics, 2, 29-51.
  • Pettengill, G.N. (2003). A Survey of the Monday Effect Literature. Quarterly Journal of Business and Economics, 42, 121-137.
  • Reschenhofer E. (2010). Further Evidence on the Turn-of-the-Month Effect. Business and Economics Journal, BEJ-16; E-ISSN: 21516219
  • Smirlock, M. and Starks L. (1986). Day of the Week and Intraday Effects in Stock Returns. Journal of Financial Economics, 17, 197-210.
  • Tinic, S. M., and West R.R. (1984). Risk and Return: January vs Rest of the Year. Journal of Financial Economics, 13, 561-74.
  • Tinic, S.M., Barone-Adesi, G. and West R.R. (1987). Seasonality in Canadian Stock Prices: A Test of the 'Tax-Loss Selling' Hypothesis. Journal of Financial and Quantitative Analysis, 22, 51-64.
  • Tong W. (2000). International evidence on weekend anomalies. Journal of Financial Research, 23(4), 495-522.
  • Ushad S.A. (2010). Semi-monthly effect: evidence from the Mauritian official stock market. Retrieved 3rd November 2015, from Ushad-mauritius.pdf.
  • Wachtel, S.B. (1942). Certain Observations on Seasonal Movements in Stock Prices. Journal of Business, 15, 184-193.
  • Worthington, A.C. (2010). The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005. Annals of Finance, 6, 421-433.
  • Yakob, N.A., Beal, D. and Delpachitra, S. (2005). Seasonality in the Asia Pacific Stock Markets. Journal of Asset Management, 6, 298-317.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.