Seasonality of Malaysian stock market

Abstract

Previous studies have found the existence of a January effect in many Western countries. In Malaysia, local stock market commentators often talk of a Chinese New Year rally which has not been tested. This study examines empirically the existence of seasonatity according to the Gregorian, Chinese and Muslim calendars in the Malaysian.stock market. The results suggest that in Malaysia, when monthly returns are measured according to different types of calendar, evidence in support of seasonality is found. In the main, a January effect, Chinese New Year effect and an Aidilfitri effect are found. The Muslim calendar time effect is less widespread than the Chinese New Year and January effect. Possible reasons for the existence of the various types of seasonality, both economic and non-economic, are suggested. In a separate part of the study, a Chinese New Year effect is also found in the Singapore and Hong Kong stock markets.