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The January effect and monthly seasonality in the Hang Seng index: 1985-97

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  • Kwong Cheung
  • J. Andrew Coutts

Abstract

In this paper we employ a data set of logarithmic nondividend adjusted daily returns from the Hong Kong Stock Exchange Hang Seng Index, over a thirteen and a half year period to investigate the presence of the January effect, or other monthly seasonalities. Further, we partition our data set into two subsamples, which allows us to test for persistence of any monthly seasonality we uncover. However, our results are somewhat surprising, we can find no evidence of a January effect or any other monthly seasonality. Indeed, we note that for two of our data sets, the mean return for December is less than that for January. We conclude that these results are peculiar to the Hang Seng Index, as the overwhelming majority of previous studies of other Stock Indices, generally detect some form of monthly seasonality.

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  • Kwong Cheung & J. Andrew Coutts, 1999. "The January effect and monthly seasonality in the Hang Seng index: 1985-97," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 121-123.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:2:p:121-123
    DOI: 10.1080/135048599353753
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    Cited by:

    1. Hsiao-Peng Fu & Andrew Wood, 2010. "Momentum in Taiwan: seasonality matters!," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1247-1253.
    2. Paul Alagidede & Theodore Panagiotidis, 2009. "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 1-23, April.
    3. Cristina Ortiz & Gloria Ramirez & Luis Vicente, 2010. "Quarterly return patterns in the Spanish stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1829-1838.
    4. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    5. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
    6. Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam, 2022. "Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 449-476, September.
    7. Talla Al-Deehani, 2006. "Seasonality as an unobservable component: the case of Kuwait stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 471-478.
    8. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.

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