Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach

Hooi Hooi Lean (), Wing-Keung Wong and Russell Smyth

No 16/05, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance criterion or CAPM statistics, which rely on the normality assumption and depend only on the first two moments, to test for calendar effects. A limitation of these approaches is that they miss much important information contained in the data such as higher moments. In this paper, we use the Davidson and Duclos (2000) test, which is a powerful non-parametric stochastic dominance (SD) test, to test for the existence of day-of-the-week and January effects for several Asian markets using daily data for the period from 1988 to 2002. Our empirical results support the existence of weekday and monthly seasonality effects in some Asian markets but suggest that first order SD for the January effect has largely disappeared.

Keywords: Stochastic dominance; Calendar anomalies; Asian markets. (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2005-09-02
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach (2007)
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