10.4225/03/5934cd37013a9 Hooi, Lean Hooi Lean Hooi Hooi Keung, Wong Wing Wong Wing Keung Smyth, Russell Russell Smyth Revisiting Calendar Anomalies in Asian Stock Markets Using a Stochastic Dominance Approach Monash University 2017 Asian markets monash:2247 Calendar anomalies Stochastic dominance 2005 1959.1/2247 2017-06-05 03:17:09 Journal contribution https://bridges.monash.edu/articles/journal_contribution/Revisiting_Calendar_Anomalies_in_Asian_Stock_Markets_Using_a_Stochastic_Dominance_Approach/5072857 Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance criterion or CAPM statistics, which rely on the normality assumption and depend only on the first two moments, to test for calendar effects. A limitation of these approaches is that they miss much important information contained in the data such as higher moments. In this paper, we use the Davidson and Duclos (2000) test, which is a powerful non-parametric stochastic dominance (SD) test, to test for the existence of day-of-the-week and January effects for several Asian markets using daily data for the period from 1988 to 2002. Our empirical results support the existence of weekday and monthly seasonality effects in some Asian markets but suggest that first order SD for the January effect has largely disappeared.