Day of the Week Effect, Annual Returns and Volatility of Five Stock Markets in Southeast of Asia

Abstract

In this paper, we analyze the annual returns, returns fluctuation and the day of the week effect for five stock markets in Southeast of Asia (Indonesia, Malaysia, Philippine, Singapore and Thailand) from 31, December 2007 to 31, December 2011. Non-parametric tests and parametric test are used for equality of variance returns and mean of the daily returns of the week. Graphical representation of indexes annual changes and their correlation were explored to employ this analysis. The results indicate that all of the indexes experienced high negative changes in 2008 and after this decline, market index growth enormously. Especially Indonesia experienced the highest increase. There was a medium positive correlation between all of the markets. There was not the presence of the day of the week effect for markets except Indonesia. There was generally high volatility of returns. The results of the Levene’s test of the equality of standard deviations of the returns at the 5 percent confidence level reject the Null Hypothesis that mean returns are not equal across the days of the week for all the markets except for Indonesia and Malaysia.