CALENDAR ANOMALIES IN ASIAN REIT

Abstract

This study delves into the aspects of behavioural finance and its effect on REITs. The objective is two-fold. The first is to examine for abnormal returns from four calendar anomalies of day-of-the-week effect, January effect, turn-of-the-month effect and the pre-holiday effect. Secondly, this research also aims to determine if firms of different sizes are equally affected by these anomalies. The scope covers Asian countries including Hong Kong, Japan, Malaysia, Singapore and South Korea over a period of three years. The examination is carried out by employing a battery of parametric and non-parametric statistical tests that addresses the concerns of distributional assumption violations. For robustness of the study results, corrections are conducted for autocorrelation and heteroskedasticity. The results of this study are mixed. Consistent with earlier literature, the turn-of-themonth effect is found in Asian REITs. However, the other calendar anomalies of dayof- the-week effect, January effect and the pre-holiday effect experienced in other markets are not significantly present. Some results established are even opposite to previous literature. In particular, there exists a trend of higher returns earned during the year-end period. In general, firms with smaller market capitalisation show greater resilience when compared to bigger firms as seen when examining the January effect.