TIME-OF-THE-MONTH ANOMALY IN ASEAN EQUITY MARKETS

Abstract

This paper examines a recently documented time-of-the-month anomaly in five ASEAN equity markets before, during and after the Asian financial crisis. The results show that this anomaly exists in the smaller markets of Indonesia and the Philippines in the pre-crisis period and Indonesia in the post-crisis period. The other bigger markets of Malaysia, Singapore and Thailand do not exhibit such anomaly in any period at all. This anomaly is still observed even when the autocorrelation in stock returns is taken into consideration.