The diminishing calendar anomalies in the stock exchange of Singapore

Abstract

This study examines the daily stock returns in the Singapore market over a 20 year period from 1975 to 1994. Results indicate the existence of four calendar anomalies. They are the January effect, the day-of-the-week effect, the turn-of-the-month effect and the holiday effect. Subperiod analysis, however, reveals a weakening of these anomalies over time.