Open AccessThe Disappearing Calendar Anomalies in the Singapore Stock Market
Author(s) -
Wing-Keung Wong,
Aman Agarwal,
Nee-Tat Wong
Publication year - 2006
Publication title -
the lahore journal of economics
Language(s) - English
Resource type - Journals
eISSN - 1811-5446
pISSN - 1811-5438
DOI - 10.35536/lje.2006.v11.i2.a7
Subject(s) - stock market , names of the days of the week , stock (firearms) , economics , january effect , efficient market hypothesis , stock market index , financial economics , monetary economics , geography , philosophy , linguistics , context (archaeology) , archaeology
This paper investigates the calendar anomalies in the Singapore stock market over the recent period from 1993-2005. Specifically, changes in stock index returns are examined surrounding January (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 for the efficient market hypothesis and the trading behavior of investors.