The Disappearing Calendar Anomalies in the Singapore Stock Market

Transcription

1 The Lahore Journal of Economics 11 : 2 (Winer 2006) pp The Disappearing Calendar Anomalies in he Singapore Sock Marke Wing-Keung Wong *, Aman Agarwal ** and Nee-Ta Wong *** Absrac This paper invesigaes he calendar anomalies in he Singapore sock marke over he recen period from Specifically, changes in sock index reurns are examined surrounding January (he January effec), on differen days of he week (he day-of-he-week effec), around he urn of he monh (he urn-of-he-monh effec) and before holidays (he pre-holiday effec). The findings reveal ha hese anomalies have largely disappeared from he Singapore sock marke in recen years. The disappearance of hese anomalies has imporan implicaions for he efficien marke hypohesis and he rading behavior of invesors. JEL Code: C10, G12, G15 Keywords: Calendar anomalies, January effec, day-of-he-week effec, urnof-he-monh effec, pre-holiday effec. I. Inroducion Exensive evidence has been provided on he exisence of calendar anomalies in he US and many oher counries. The main calendar anomalies are he January effec, he day-of-he-week effec, he urn-ofhe-monh effec and he holiday effec. Despie he mouning evidence, he reasons for hese anomalies have remained largely unknown. These anomalies are of paricular ineres because heir exisence violaes he weak form of marke efficiency. The weak form of marke efficiency * Associae Professor of Economics, Deparmen of Economics, Naional Universiy of Singapore, Singapore. ** Professor of Finance & Direcor (Offg), Indian Insiue of Finance, Ashok Vihar, Delhi, India ANU Disinguished Visiing Research Scholar, The Ausralian Naional Universiy, Naional Graduae School of Managemen, Canberra ACT, Auasralia *** Lecurer, The Tourism Academy a Senosa, Temasek Polyechnic, Singapore.

2 124 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong implies ha in an efficien sock marke, sock prices fully reflec all available informaion so ha invesors make only normal profis. Thus, invesors canno make abnormal reurns by exploiing hese anomalies. Given ha hese anomalies are relaively easy o exploi, hey should have weakened or disappeared over ime. However, mos previous sudies have no explicily examined how hese anomalies change over ime. In he Singapore sock marke, various researchers have been documening he exisence of calendar anomalies. The main objecive of his sudy is o re-examine he calendar anomalies in he Singapore marke using an updaed daa se up o December Through his sudy, we found ha he anomalies in he Singapore marke have weakened recenly. The res of he paper proceeds as follows. Secion II conains he lieraure review while Secion III discusses he background and developmen of he Singapore sock marke. Secion IV describes he daa and mehodology. Secion V examines he individual calendar anomalies, while Secion VI concludes. II. Lieraure Review January Effec The January effec describes he phenomenon ha sock reurns in January are on average higher han for he oher monhs. In he US sock marke, he January effec was firs documened by Rozeff and Kinney (1976). A laer sudy by Keim (1983) showed ha he January effec is largely confined o socks of small firms and o he firs few rading days in January. The January effec has been observed in oher counries. Gulekin and Gulekin (1983) invesigaed he January effec in seveneen major indusrialized counries and found unusually high January reurns in mos of he counries sudied (specifically, Ausralia, Belgium, Canada, Denmark, Germany, Japan, Neherlands, Norway, Spain, Sweden and Swizerland). In he Singapore marke, Wong and Ho (1986) found ha he mean daily reurn in January is significanly higher han he reurns in oher monhs over he period In addiion, hey found no significan differences beween he mean reurns on he las five rading days and hose of he firs five rading days of he year, a resul inconsisen wih he US evidence. Furher evidence on he January effec in he Singapore marke is provided by Agarwal and Rivoli (1989), Lee (1992) and Chan e al (1996).

3 The Disappearing Calendar Anomalies in he Singapore Sock Marke 125 Day-of-he-Week Effec The day-of-he-week effec refers o he observaion ha sock reurns are no equal across he days of he week. In paricular, he mean reurn on Monday is negaive and generally he lowes while he mean reurn on Friday is posiive and generally he highes. Exensive evidence of he day-of-he-week effec has been documened in he US sock marke, for example, French (1980), Gibbons and Hess (1981), Keim and Sambaugh (1984), Smirlock and Sarks (1986), Lakonishok and Smid (1988), Abraham and Ikenberry (1994) and Wang e al (1997). More recenly, Mehdian and Perry (2001) found ha he Monday effec has significanly declined and deeced a reversal of he Monday effec in large capializaion socks (represened by he S&P 500, he Dow Jones Composie and he NYSE Composie) in recen years. The day-of-he-week effec has been widely repored in oher counries. In Singapore, Wong and Ho (1986) documened a weekly seasonal paern of sock reurns over he period Subsequen sudies by Condoyanni e al (1987), Aggarwal and Rivoli (1989), Wong e al (1992) and Chan e al (1996) provide furher evidence of he day-of-he-week effec in he Singapore marke. Turn-of-he-Monh Effec The urn-of-he-monh effec refers o he unusually high sock reurns a he urn of he monh defined as he period from he las rading day of he previous monh o he firs hree rading days of he curren monh. Using he Dow Jones Indusrial Average (DJIA) index from , Lakonishok and Smid (1988) found ha he mean reurn on he urn-of-he-monh rading days is abou eigh imes higher han on oher rading days. Exending he analysis o oher counries, Cadsby and Raner (1992) found ha he urn-of-he-monh effecs are presen in Ausralia, Canada, Swizerland, UK and Wes Germany bu no in France, Hong Kong, Ialy or Japan. In Singapore, a sudy by Tan and Wong (1996) found a significan urn-of-he-monh effec. They showed ha he mean sock reurn on urnof-monh rading days is significanly higher han oher rading days, over he period Holiday Effec The holiday effec refers o he observaion ha he mean sock reurn is higher on he rading day immediaely preceding holidays (pre-

4 126 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong holidays) han on oher rading days. Ariel (1990) examined daily reurns on he CRSP equally-weighed and value-weighed indices of NYSE and AMEX socks from and found ha he mean reurn on pre-holidays is significanly higher han he remaining rading days. Similar resuls are repored by Peengill (1989) and Kim and Park (1994) who independenly analyzed he US sock marke over differen ime periods. Cadsby and Raner (1992) found ha he holiday effecs are significan in Ausralia, Canada, Hong Kong, Japan and US bu no in France, Ialy, Swizerland, UK and Wes Germany. They also found ha, wih he excepion of Hong Kong, he counries exhibiing holiday effecs do so before heir own local holidays. In he Singapore marke, Tan and Wong (1996) showed ha sock reurns are significanly higher on pre-holidays han on oher rading days in he period using he SES All Singapore Index. However, subsequen sudies by Chan e al (1996) and ohers found ha he holiday effec in Singapore is mainly a Chinese New Year effec as only he Chinese New Year has a significan holiday effec; he pre-holiday reurns for he oher holidays are no saisically significan. III. Background and Developmens on he Singapore Sock Marke The Singapore sock marke, known as he Sock Exchange of Singapore (SES), is one of he fases growing emerging sock markes in Souh Eas Asia. Approved by he Miniser for Finance in Singapore under he provisions of he Securiy Indusry Ac, he Sock Exchange of Singapore Limied was incorporaed on May 24, 1973 and commenced is operaions on June 4, I is he only corporae body o operae a sock marke of a securiy exchange in Singapore. Thereafer, following he merger of wo esablished and well-respeced financial insiuions - he SES and he Singapore Inernaional Moneary Exchange (SIMEX) he Singapore Exchange Limied (SGX) was inauguraed on December 1, 1999 o operae he sock marke and fuures marke in Singapore. As of December 2005, he SGX lised 663 companies wih a marke capializaion of over S$ billion. As of December 2005, he companies wih he larges capializaion included Singapore Telecommunicaions, DBS Group (a financial service group) and Unied Overseas Bank. For 2005, he oal urnover was nearly billion shares valued a over S$ 200 billion. Since he esablishmen of he Singapore capial marke, various reforms have been implemened owards he developmen of a modern and efficien capial marke including: revised ax sysems, relaxaion of exchange

5 The Disappearing Calendar Anomalies in he Singapore Sock Marke 127 conrols, privaizaion of publicly owned enerprises, removal of resricions on repariaion of profis and, mos imporanly, he opening of he share marke o foreign invesors. These policies led Singapore o achieve remarkable developmen in is sock marke, which hen became one of he mos imporan markes in he region. IV. Daa and Mehodology The Srais Times Index, a marke-capializaion weighed index of 55 (acively-raded) large capializaion socks, from Daasream Inernaional covering he period from January 1993 o December 2005 is used in our sudy. To examine he anomalies, we analyze he enire period from January 1993 o December 2005 and furher analyze he sub-periods: January 1, 1993 December 31, 1997 (pre-crisis Period), and January 1, 1998 December 31, 2005 (pos-crisis Period) wih he 1997 Asian Financial Crisis being a cu-off poin o separae hese sub-periods. The daily log-reurn used in our sudy is: = ln( P / P 1 R ) (1) where P is he closing value of sock index on day. As sock reurns are well-known o be heeroscedasic, we incorporae he GARCH(1,1) model (Brooks and Ragunahan, 2003) ino he mean equaion o es for he January effec for he reurns, such ha: R 12 = bi D i= 1 i + ε, (2) ε / ψ N(0, h ) and h = α + α ε β h where R is he daily reurn on day defined in (1), Di is a dummy variable o measure he monhly effecs and is se equal o one if he day is in monh i and zero oherwise, he coefficiens b i measure he mean daily reurn of he respecive monh, α 1 measures he ARCH effec and β 1 measures he GARCH effec of he volailiy. If he value of he mean reurn is abou he same for each monh, hen he esimaes b1 hrough b12 will be close o zero and he F-saisic will be insignifican.

6 128 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong Similarly, we adop he following model o es for he day-of-heweek effec: R 5 = bi D i= 1 i + ε, (3) ε / ψ N(0, h) and h = α + α ε β h where R is he daily reurn on day defined in (1), Di is a dummy variable which is equal o one if he day is a weekday i and zero oherwise, and he coefficien b i represens he expeced reurn for he corresponding day i of he week. If he mean reurn is similar for each day of he week, he esimaes b1 hrough b5 will be close o zero and he F-saisic should be insignifican. To es for he Turn-of-he-Monh Effec and he Holiday Effec, we simply apply he simple -es for wo independen samples. V. Empirical Findings and Inerpreaion Tesing for he January Effec The January effec in he Singapore marke has been found in he lieraure o be significanly posiive relaive o all oher monhs, inferring ha January aains he highes reurn on average. Differen from he findings in he lieraure, our findings in Panel A of Table 1 firs show ha he mean daily reurn in January is posiive bu insignifican in he pre-crisis period of , implying ha hough he mean daily reurn in January is higher han mos of he oher monhs in he pre-crisis period, he differences are no significan. In addiion, our findings conradic he findings in he lieraure ha he mean daily reurns of he Srais Times Index are negaive in he enire period as well as in he pos-crisis period. This leads us o conclude ha he January effec changes from posiive in he pre-crisis o negaive in he pos-crisis period bu he differences are no significan in eiher period.

7 The Disappearing Calendar Anomalies in he Singapore Sock Marke 129 Table-1: Tes for January Effec Panel A Period Jan Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec Coefficien -saisic Coefficien -saisic Coefficien -saisic b c c c b b c Panel B α -saisic 0 α -saisic 1 β -saisic F-saisics p-values Q-Sa p-values LM Sa p-values a a a a a a a a a The equaion used is R = b 1 D Jan + b 2 D Feb b 12 D Dec + ε where / 1 N(0, h) 2 ε ψ and = α 0 + α 1 ε 1 + β h. h 1 1 The dummy variables (D Jan, D Feb,, D Dec ) have a value of 1 if he day is respecively in January, February,, December and zero oherwise. denoes significance a he 1%, 5% and 10% level. Q-sa refers o he Ljung-Box es on he sandardized residuals LM sa refers o he Ljung-Box ess on he squared sandardized a, b, c residuals.

8 130 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong In addiion, Panel B of Table-1 shows ha boh ARCH and GARCH coefficiens are highly significanly posiive in he full period and boh subperiods, reflecing ime dependence in he process and volailiy shocks which are allowed o persis over ime. The diagnosics check displayed in he Table exhibis he Ljung-Box ess on he sandardized residuals (Q-sa) and on he squared sandardized residuals (LM sa). As all he p-values are larger han convenional levels, we conclude ha he fied model is adequae and successful in capuring he dynamics in he firs as well as second momens of he reurn series, which in urn implies ha our analysis and conclusions are appropriae. Tesing for he Day-of-he-Week Effec Table-2 reveals a weekly paern of sock reurns. As can be seen from Panel A, he resuls show ha he mean Monday reurns are negaive in he full period as well as in he wo sub-periods, as indicaed by he negaive coefficiens for Monday. Addiionally, he mean reurns end o increase as he week progresses wih he highes reurns on he las day of he week. This may explain why he mean reurns of he firs wo days of he week are consisenly lower han hose of he las hree days of he week. To es he equaliy of mean reurns across he days of he week, he F-es was used. In he full period and in he pre-crisis period, he F- saisics are significan a he 5% level. However, in he pos-crisis period, he F-saisics are insignifican. This shows ha he day-of-he-week effec may no longer exis in he Singapore marke.

9 The Disappearing Calendar Anomalies in he Singapore Sock Marke 131 Table-2: Tes for day-of-he-week effec Panel A Period Mon Tue Wed Thu Fri F-sa Coefficien -saisic Coefficien -saisic Coefficien -saisic b b b c b [0.0313] b [0.0863] [0.3203] Panel B Period α 0 α 1 β 1 Q-Sa LM Sa a (7.3492) a ( ) a ( ) [0.342] [0.3334] a (5.7597) a (8.0109) a ( ) [0.767] [0.7590] a (4.2093) a ( ) a ( ) [0.459] [0.4365] The regression equaion used is R = b 1 D Mon + b 2 D Tue + + b 5 D Fri + 2 ε / ψ 1 N(0, h) and h = α 0 + α1ε 1 + β h 1. 1 ε where The dummy variables (D Mon, D Tue,, D Fri ) have a value of 1 if he day is respecively Monday, Tuesday, Wednesday,.., Friday and zero oherwise. a, b, c denoe significance a he 1%, 5% and 10% level respecively. The parenheses figures are he -saisics. Q-sa refers o he Ljung-Box es on he sandardized residuals LM sa refers o he Ljung-Box ess on he squared sandardized residuals. The brackeed figures are he p-values of he F-saisics, Q-saisics and LM saisics. Similar o he siuaion in esing he Monhly effec, Panel B of Table-2 confirms he exisence of boh ARCH and GARCH effecs in he full period as well as in boh sub-periods and he diagnosics check infers ha he fied model is adequae and successful in capuring he dynamics in he firs as well as second momens of he reurn series, which in urn implies ha our analysis and conclusion are correc.

10 132 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong Tesing for he Turn-of-he-Monh Effec Following previous sudies, he urn-of-he-monh is defined as he period from he las rading day of he previous monh o he firs hree rading days of he curren monh. Table-3 compares he mean reurns of urn-of-he-monh rading days wih oher rading days. I can be seen from he Table ha urn-of-he-monh rading days earn higher reurns, on average, han oher rading days for he full period and wo subperiods. Table 3: Tes for urn-of-he-monh effec Period Mean Sd Dev Obs Turn-of-he-monh rading days Oher rading days -sa Turn-of-he-monh rading days Oher rading days -sa Turn-of-he-monh rading days Oher rading days -sa a a c a, b, c denoes significance a he 1%, 5% and 10% level respecively However, a one-ailed -es of he difference of means beween urn-of-he-monh rading days and oher rading days deeced a significan decline of he urn-of-he-monh effec from he pre-crisis period o he pos-crisis period. These resuls show ha he urn-of-hemonh effec exiss in he pre-crisis period bu has diminished significanly hereafer. Tesing for he Holiday Effec For he purpose of his sudy, a holiday is defined as a day on which he sock marke is closed as a resul of a public holiday. This definiion follows he sudies by Peengill (1989) and Ariel (1990). Table- 4 shows ha he mean reurns on pre-holidays are higher han ha of oher rading days for he full period and wo sub-periods. The sandard deviaion of reurns of pre-holidays is higher han hose of oher days so we infer ha higher reurns are accompanied by higher risk for he Srais Times Index.

11 The Disappearing Calendar Anomalies in he Singapore Sock Marke 133 Table 4: Tes for holiday effec Period Mean Sd Dev Obs Pre-holidays Oher rading days -sa Pre-holidays Oher rading days -sa Pre-holidays Oher rading days -sa c c a, b, c denoe significance a he 1%, 5% and 10% level respecively A one-ailed -es for he differences of he means beween preholidays and oher rading days is significan in he full period in he precrisis period. However, in he pos-crisis period, he -saisic is insignifican. This shows ha he holiday effec has declined and over ime and i may no longer exis in he Singapore sock marke. VI. Discussion and Conclusions This sudy re-examines he calendar anomalies January effec, dayof-he-week, urn-of-he-monh effec and holiday effec in he Singapore sock marke. In he pre-crisis period, our sudy generally suppors previous findings of hese anomalies in he Singapore marke. However, analysis in he pos-crisis period shows ha hese anomalies have significanly declined or disappeared. Our resuls also reveal for he firs ime ha here has been a reversal, hough insignifican, of he January effec over ime since he Asian financial crisis. The disappearance of he calendar anomalies implies ha invesors may no longer be able o generae abnormal reurns by capializing on hese anomalies. This is likely o be due o invesors increasingly being aware and aking advanage of he anomalies which has priced away any advanage. In addiion, high volailiy combined wih economic and financial insabiliy afer he 1997 Asian financial crisis may have resuled in he eliminaion of calendar anomalies. Moreover, he arrival of bad informaion such as he global economic downurn, erroris aacks, he war in Iraq, and he SARS oubreak, have caused uncerainy ha may have alered uninformed

12 134 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong invesors decisions. These may explain he absence of he calendar effec in he Singapore sock marke. Our findings suppor he argumen ha mos anomalies will diminish and evenually disappear afer heir discovery as more and more invesors exploi his effec. For example, afer discovering he January effec, invesors who expec he sock price o appreciae in January will hen purchase before January and sell a he end of January. This will drive up he sock prices before January and push down he prices a he end of January, and resul in he diminishing or even disappearance of he January effec. In addiion, he calendar anomaly resuls in our paper can assis invesors in heir invesmen decision-making in he Singapore sock marke. Disappearance of calendar anomalies would also lend suppor o he conjecure ha Singapore s sock marke saisfies he weak-form of he Efficien Marke Hypohesis. While saisfacory clarificaions have been found for such anomalies as he small firm in January (Keim, 1983), booko-marke (Fama and French, 1992), (Reinganum, 1988) and reversals (Debond and Thaler, 1985), (Chopra, Lakonishok and Rier, 1992) fuller explanaions for he failure of he efficien markes hypohesis have ranged from risk premia (Fama and French, 1993) an illiquidiy premium or inefficien markes (Lakonishok, Shliefer and Vishney, 1995). We noe ha i is well-known ha sock reurns are heeroscedasic and hence a GARCH model is used o model he reurns (Brooks and Ragunahan 2003). Our findings show ha boh ARCH and GARCH coefficiens are highly significanly posiive in he full period as well as in boh sub-periods for he models of he monhly effecs and he day-of-heweek effec; his reflecs ime dependence in he process and persisence of volailiy shocks over ime. This persisence capures he propensiy of reurns o cluser over ime and explains he non-normaliy and nonsabiliy of empirical asse reurn disribuion. The diagnosic check concludes ha he fied model is adequae and successful in capuring he dynamics in he firs as well as second momens of he reurn series, which in urn implies ha our analysis and conclusions are appropriae. I is also well-known ha he error erm for he reurn is no normal, (Clark 1973). However, he regression equaion used in his paper is sill valid by he cenral limi heorem. 1 1 Anoher approach would be he robus Bayesian sampling esimaors (Masumura e al 1990 and Wong and Bian 2000). Oher alernaives include using oher advanced saisics o improve he es, (Wong and Miller 1990, Tiku e al 2000, Fong and Wong 2006).

13 The Disappearing Calendar Anomalies in he Singapore Sock Marke 135 The disappearance of he calendar anomalies from he Singapore markes suggess ha he Singapore (and probably oher regional) markes are becoming more efficien, due mainly o more knowledgeable and experienced invesors, advances in informaion echnology and communicaions, lower cos of informaion, ec. Is his a global rend owards marke efficiency? The bes ha can be said for now is ha as wih mos hings in life, only ime will ell.

14 136 Wing-Keung Wong, Aman Agarwal and Nee-Ta Wong References Abraham, A. and Ikenberry, D.L., 1994, The Individual Invesor and he Weekend Effec, Journal of Financial and Quaniaive Analysis, 20, Agarwal, J.D. and Aman Agarwal, 2001, Liberalizaion of Capial Flows, Banking Sysem & Trade: Focus on Crisis Siuaions, Inernaional Review of Comparaive Public Policy iled Inernaional Financial Sysems and Sock Volailiy Volume 13, pp Invied o presen a 18h Inernaional Conference of Finance a Namur, Belgium (25h-28h June 2001), a Florida Inernaional Universiy, Florida, USA (26h Sepember 2001), discussed wih FIU Finance faculy a Luncheon presenaion, Florida, USA (27h Sepember 2001), a Ponific Caholic Universiy of Rio de Janerio, Rio de Janerio, BRAZIL (22rd Ocober 2001). Also discussed a a few conferences in he USA and UK in April and May Agarwal, J.D. and Aman Agarwal, 2004, Globalizaion and Inernaional Capial Flows ; Ananya, Journal of Naional Insiue of Financial Managemen (Invied Paper), 2004 (forhcoming issue); Invied o deliver he Keynoe Address a he Two day Naional Conference on Globalizaion Decadal Indian Experience, organized by ATMA MAYYIL and he Insiue of Technology, Kannur Universiy, Kerela, Indiaon 17 h January 2004 (12:00 14:30). Agarwal, J.D., 2004, Volailiy of Inernaional Financial Markes: Regulaion and Financial Supervision, Finance India, XVIII No 1, March 2004; Invied o be delivered as he Keynoe Speech a he 4h Inernaional Conference in Finance, organized by Faculy of Adminisraion & Economics, Universiy of Saniago de Chile, Val de Mir, CHILE, 7h January Agarwal, J.D., 2005, Lieraure in Finance Vol III : Financial Sysems and Markes, IIF Publicaions, Delhi. Agarwal, R. and Rivoli, P., 1989, Seasonal and Day-of-he-Week Effecs in Four Emerging Sock Markes, Financial Review, 24, Ariel, R.A., 1990, High Sock Reurns before Holidays: Exisence and Evidence on Possible Causes, Journal of Finance, 45,

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