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
Date of Publication
2013
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Robert Dan Roces
Defense Panel Member
Joseph Vincent David
Junette A. Perez
Jerome Palaganas
Abstract/Summary
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)
Abstract Format
html
Language
English
Format
Accession Number
TU21748
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
101, [130] leaves : illustrations (some color)
Keywords
Stock exchanges--Philippines; Stock exchanges--Singapore; Stock exchanges--Malaysia
Recommended Citation
Gangcuangco, M. C., Kim, Y., Lacadin, J. T., & Song, S. E. (2013). 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. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18384
