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The Disappearing Calendar Anomalies in the Singapore Stock Market

Wing-Keung Wong (), Aman Agarwal () and Nee-Tat Wong ()
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Aman Agarwal: Professor of Finance & Director (Offg), Indian Institute of Finance, Ashok Vihar, Delhi, India.
Nee-Tat Wong: Lecturer, The Tourism Academy at Sentosa, Temasek Polytechnic, Singapore.

Lahore Journal of Economics, 2006, vol. 11, issue 2, 123-139

Abstract: This paper investigates the calendar anomalies in the Singapore stock market over the recent period from1993-2005. Specifically, changes in stock index returns are examined surroundingJanuary (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the month (the turn-of-the-month effect) and before holidays (the pre-holiday effect). The findings reveal that these anomalies have largely disappeared from the Singapore stock market in recent years. The disappearance of these anomalies has important implications forthe efficient market hypothesis and the trading behavior of investors.

Keywords: Calendar anomalies; January effect; day-of-the-week effect; turn-of-the-month effect; pre-holiday effect. (search for similar items in EconPapers)
JEL-codes: C10 G12 G15 (search for similar items in EconPapers)
Date: 2006
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