Title: Stock market anomalies in ASEAN+6 countries

Authors: Suthasinee Suwannapak; Nuttida Thongrak; Surachai Chancharat

Addresses: Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, Thailand

Abstract: This paper examines the day-of-the-week, the turn-of-month, and the January effects in ASEAN+6 stock markets from 2001 to 2020. The results indicate that the returns were statistically significant for Indonesia except for Monday, Tuesday, and Thursday for the pre-crisis period and Thursday for the crisis period. However, the estimated coefficients for Australia and Japan were statistically insignificant in all four periods. The results for the turn-of-month effect indicate that none of the developed markets exhibited a significant turn-of-month effect, except for Japan in the pre-crisis period and New Zealand for the whole period and the pre-crisis period. Lastly, the January effect indicates that the returns during January were higher than the returns during the rest of the year, and they were stronger for emerging markets as compared to developed markets.

Keywords: calendar anomaly; day-of-the-week; turn-of-the-month; January effect.

DOI: 10.1504/IJEPEE.2023.136308

International Journal of Economic Policy in Emerging Economies, 2023 Vol.18 No.3/4, pp.256 - 268

Received: 28 Oct 2020
Accepted: 09 Mar 2021
Published online: 30 Jan 2024 *

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