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

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.

Geli̇şmekte Olan Ülkelerde Ayin Gün Etki̇si̇

“…They did not find persistent January effect or other monthly seasonality in Hong Kong market surprisingly. Coutts and Sheikh (2000)'s empirical results on the Johannesburg Stock Exchange were supported Cheung and Coutts (1999)'s findings that they provide no evidence for existence of January effect in All Gold Index. Maghayereh (2003) tested seasonal anomalies/calendar effects with GARCH, EGARCH and GJR methods and did not find any evidence of monthly seasonality and January effect in Amman Stock Exchange.…”

“…He also determined that the January effect was not adequate to explain the existence of monthly effects. Cheung and Coutts (1999) researched the January effect or other monthly seasonality in Hang Seng Index. They did not find persistent January effect or other monthly seasonality in Hong Kong market surprisingly.…”

Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach

“…Ho (1990) finds that six of eight emerging Asian markets exhibit a January effect. However, Cheung and Coutts (1999) find no evidence of a January effect or other monthly seasonality for the Hong Kong market. values of the stock index i on days t and t-1 respectively.…”

The Monthly Effects in Chinese Gold Market

“…However, the calendar effect is also doubted by other researchers. Cheung and Coutts (1999) find no evidence of a January effect or any other monthly seasonality in the Hang Seng index. Marshall and Visaltanachoti (2010) suggest that implementing the Other January Effect (OJE) cannot bring excess risk-adjusted returns.…”