Comparison of the seasonal pattern in mature and emerging stock market

Abstract

This study examines the “Conditional Mean” and “Conditional Variance” in two effects, Day-of-the-Week and Monthly for mature and immature stock markets. The data includes the daily and monthly market index returns of US, UK, Japan as mature markets and Shanghai A, Thailand, Malaysia as immature markets. The findings show that there is no similar pattern of either Day-of-the-Week or Monthly can be revealed between mature and immature stock markets. But both effects are present in each individual market. Negative “September” effect is found, indicating that investment decisions are influenced by the terrorists’ attack in 2001.