Holiday effect on the Singapore stock market : behavioural or market-driven?
Substantial past studies have shown the presence of holiday effect in the Singapore stock market. This paper re-examines the holiday effect in the recent years from 1993 to 2012. Its main objectives are to determine the presence of the holiday effect, the effect of the various cultural and state hol...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51288 |
| _version_ | 1826109548285394944 |
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| author | Gan, Jia Hao Seow, Jing Min Wee, Jazz Jiao Shan |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Gan, Jia Hao Seow, Jing Min Wee, Jazz Jiao Shan |
| author_sort | Gan, Jia Hao |
| collection | NTU |
| description | Substantial past studies have shown the presence of holiday effect in the Singapore stock market. This paper re-examines the holiday effect in the recent years from 1993 to 2012. Its main objectives are to determine the presence of the holiday effect, the effect of the various cultural and state holidays on the Singapore stock market and the interaction between financial crises and the holiday effect.
Our research hypotheses were investigated using a 3 × 2 factorial design. Our findings suggest that the post-holiday effect on the Singapore stock market exists in the form of positive abnormal returns. However, this effect is confined to the Asian cultural holidays. Significant positive abnormal returns occurred on post-holidays with the exception of Vesak Day in which significant negative abnormal returns were observed. During financial crises, the relationship between the post-holiday effect and expected daily returns also strengthened.
Several managerial implications arise from our findings. Since the post-holiday effect violates the Efficient Market Hypothesis, fund managers may take this effect into account when making investment decisions. Speculators looking to exploit the post-holiday effect may also purchase stocks in the pre-holiday period and close their positions in the post-holiday period. Investors may also take advantage of the stronger post-holiday effect during financial crises to earn positive abnormal returns.
We recommend that future studies can be done in the global context to overcome our limitation of external validity. Future research may also include more trading days in the pre-holiday and post-holiday periods. The day-of-the-week effect and the turn-of-the-month effect on the Singapore stock market may also be further examined and other factors that may influence the post-holiday effect in Singapore can also be investigated. |
| first_indexed | 2024-10-01T02:20:01Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/51288 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:20:01Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/512882023-05-19T03:30:05Z Holiday effect on the Singapore stock market : behavioural or market-driven? Gan, Jia Hao Seow, Jing Min Wee, Jazz Jiao Shan Nanyang Business School Yeo, Keng Leong DRNTU::Business::Finance Substantial past studies have shown the presence of holiday effect in the Singapore stock market. This paper re-examines the holiday effect in the recent years from 1993 to 2012. Its main objectives are to determine the presence of the holiday effect, the effect of the various cultural and state holidays on the Singapore stock market and the interaction between financial crises and the holiday effect. Our research hypotheses were investigated using a 3 × 2 factorial design. Our findings suggest that the post-holiday effect on the Singapore stock market exists in the form of positive abnormal returns. However, this effect is confined to the Asian cultural holidays. Significant positive abnormal returns occurred on post-holidays with the exception of Vesak Day in which significant negative abnormal returns were observed. During financial crises, the relationship between the post-holiday effect and expected daily returns also strengthened. Several managerial implications arise from our findings. Since the post-holiday effect violates the Efficient Market Hypothesis, fund managers may take this effect into account when making investment decisions. Speculators looking to exploit the post-holiday effect may also purchase stocks in the pre-holiday period and close their positions in the post-holiday period. Investors may also take advantage of the stronger post-holiday effect during financial crises to earn positive abnormal returns. We recommend that future studies can be done in the global context to overcome our limitation of external validity. Future research may also include more trading days in the pre-holiday and post-holiday periods. The day-of-the-week effect and the turn-of-the-month effect on the Singapore stock market may also be further examined and other factors that may influence the post-holiday effect in Singapore can also be investigated. BUSINESS 2013-03-27T03:05:22Z 2013-03-27T03:05:22Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51288 en Nanyang Technological University 101 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance Gan, Jia Hao Seow, Jing Min Wee, Jazz Jiao Shan Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title | Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title_full | Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title_fullStr | Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title_full_unstemmed | Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title_short | Holiday effect on the Singapore stock market : behavioural or market-driven? |
| title_sort | holiday effect on the singapore stock market behavioural or market driven |
| topic | DRNTU::Business::Finance |
| url | http://hdl.handle.net/10356/51288 |
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