Cross-country analysis of December effect: Determining the presence and consistency of December effect in the stock market of the Philippines, Singapore and Malaysia using daily stock indices returns for the periods 2000-2012

• Main Authors: Gangcuangco, Mark Anthony C., Kim, Yuri, Lacadin, Jessa Marie T., Song, Song E.
• Format: text
• Language: English
• Published: Animo Repository 2013
• Subjects: Stock exchanges > Philippines; Stock exchanges > Singapore; Stock exchanges > Malaysia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18384
• Institution: De La Salle University

In an efficient stock market, returns are said to be random. However, several empirical works suggest that stock returns are not completely random and there exists patterns in the stock market. These patterns are referred to as anomalies. Categorically, there are three types of anomalies but calendar anomalies are the most discussed. In this paper, December effect, an example of calendar anomaly, is observed with a particular focus on the presence and consistency of December effect in the stock market of Philippines, SIngapore, and Malaysia for the periods 2000-2012. Data used for this research are the daily stock indices returns for year 2000 to 2012. Presence will be observed by using the entire data while consistency will be observed by using yearly data of daily stock indices returns. Consistent with Sannasee et al. (2010) the proponents used generalized autoagressive conditional heteroscedasticity (1, 1) in observing the presence and consistency of December effect. Results show that December effect is present but not consistent in the stock market of Philippines and Malaysia. No conclusion was made for the stock market of Singapore because the results failed to satisfy the two conditions of Garch (1, 1)