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A Fresh Look at Seasonal Anomalies: An International Perspective

Author

Listed:
  • Ali F. Darrat

    (College of Business, Louisiana Tech University, U.S.A.)

  • Bin Li

    (Griffith Business School, Griffith University, Australia)

  • Benjamin Liu

    (Griffith Business School, Griffith University, Australia)

  • Jen Je Su

    (Griffith Business School, Griffith University, Australia)

Abstract

Under globalization and international market integration, exploring seasonality in global equity markets is imperative for portfolio managers and individual investors to timely reconstruct their portfolios and for firms to optimally schedule the issue of either new shares or IPOs. Prior research supports the presence of the January effect, particularly in the US stock market. However, in the context of international stock markets, the evidence is less compelling and often contradictory. This paper provides a fresh look at monthly seasonality in 34 international equity markets over the period from January 1988 to December 2010. Unlike prior findings, we do not find a significant January effect except perhaps for 3 markets. Instead, we find significantly larger and positive anomalies across the vast majority of these markets for December and April. The results further suggest the presence of significant negative anomalies for June, August, and September across most global markets in the sample.

Suggested Citation

  • Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
    • Handle: RePEc:ijb:journl:v:10:y:2011:i:2:p:93-116
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    References listed on IDEAS

    as
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    3. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
    4. Matthew C. Mitchell & Muhamad Iqbal Mohd Rafi & Sean Severe & Jeffrey A. Kappen, 2014. "Conventional Vs. Islamic Finance: The Impact Of Ramadan Upon Sharia-Compliant Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(1).
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    More about this item

    Keywords

    international stock markets; market efficiency; seasonal anomaly; monthly effect;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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