We use daily returns to identify seasonality on the Kuala Lumpur Stock Exchange (KLSE), The Stock Exchange, Bombay (SEB), the Stock Exchange of Singapore (SES) and The Stock Exchange of Thailand (SET). On all four, we find strong day-of-the-week effects. Month-of-the-year effects exist on the KLSE and the SES but not on the SET or the BSE. Strong Chinese New Year effects are evident on the SES and the KLSE. The Chinese New Year effect on the SET is among small capitalization stocks. On the KLSE, we also find Islamic New Year and Vesak effects, but no Aidilfitri effect. Only weak holiday effects concerning several Indian lunar holidays are evident on the BSE. In general we find that cultural holidays evidence a stronger effect than state holidays. These results confirm the importance of cultural influences in the pricing of stocks.
M. W. L. Chan is Professor of Finance and Business Economics at McMaster University, Canada, Anya Khanthavit Associate Professor of Finance, Thammasat University, Thailand and Hugh Thomas Assistant Professor of Finance, McMaster University, Canada. The authors would like to thank the Association of Deans of Southeast Asian Graduate Schools of Management for the financial support that enabled this research to be undertaken and an anonymous referee for his many insightful and constructive suggestions. Please direct all correspondence to Hugh Thomas, School of Business, McMaster University, 1280 Main Street West, Hamilton, Ontario, L8S 4M4, Canada, tel: (905) 522-6861 ext 23983 or email thomas@mcmaster.ca..