The diminishing calendar anomalies in the stock exchange of Singapore

Ruth Seow Kuan Tan and Wong Nee Tat

Applied Financial Economics, 1998, vol. 8, issue 2, 119-125

Abstract: This study examines the daily stock returns in the Singapore market over a 20 year period from 1975 to 1994. Results indicate the existence of four calendar anomalies. They are the January effect, the day-of-the-week effect, the turn-of-the-month effect and the holiday effect. Subperiod analysis, however, reveals a weakening of these anomalies over time.

Date: 1998
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DOI: 10.1080/096031098333096

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