Empirical Study On Anomalies Of Singapore Stock Market
Market anomaly refers to observed capital market seasonality that cannot be explained by theory or institutional practice. The discovery of market anomaly dated back to mid 1970's. Ever since, these anomalies have gained great attention among academicians as they constitute a challenge to the...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20817/ |
| _version_ | 1848792139665768448 |
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| author | Sim, Meng Hwee Andrew |
| author_facet | Sim, Meng Hwee Andrew |
| author_sort | Sim, Meng Hwee Andrew |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Market anomaly refers to observed capital market seasonality that cannot be explained by theory or institutional practice.
The discovery of market anomaly dated back to mid 1970's. Ever since, these anomalies have gained great attention among academicians as they constitute a challenge to the Efficient Market Hypothesis (EMH). Extensive study of the market efficiency and anomalies had been conducted in both developing and developed countries, and on all kinds of financial assets, ranging for equity, options, bonds and futures, to treasury bill.
The studies of market anomaly of Singapore market exchange have been dated back to mid 1980s. Some of the seasonality such January effect, weekend effect and firm size effect were sighted, while others experience a mix observation.
This study is setup to evaluate if any of the selected anomalies (January effect, weekend effect and firm size effect) is presence in the stock exchange today. The analysis was performed using the latest data collated from the past twelve years, with sampling period from 1st January 1994 to 31st December 2005.
The empirical results show signs of the weekend and firm size effect, while no observation of January effect was sighted. The weekend and firm size effect results indicate a possible continuation of the anomalies discovered in past studies. A possible explanation for the absence of the January anomaly is the absence of tax gain practice in Singapore.
During the study, a diminishing trend of the weekend effect was observed. However, further study is proposed to confirm the observation.
Lastly, a short analysis of the intra-day effect was studied, and the analysis result infers the absence of the effect in the Singapore stock exchange. |
| first_indexed | 2025-11-14T18:39:39Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20817 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:39:39Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-208172018-03-08T06:16:52Z https://eprints.nottingham.ac.uk/20817/ Empirical Study On Anomalies Of Singapore Stock Market Sim, Meng Hwee Andrew Market anomaly refers to observed capital market seasonality that cannot be explained by theory or institutional practice. The discovery of market anomaly dated back to mid 1970's. Ever since, these anomalies have gained great attention among academicians as they constitute a challenge to the Efficient Market Hypothesis (EMH). Extensive study of the market efficiency and anomalies had been conducted in both developing and developed countries, and on all kinds of financial assets, ranging for equity, options, bonds and futures, to treasury bill. The studies of market anomaly of Singapore market exchange have been dated back to mid 1980s. Some of the seasonality such January effect, weekend effect and firm size effect were sighted, while others experience a mix observation. This study is setup to evaluate if any of the selected anomalies (January effect, weekend effect and firm size effect) is presence in the stock exchange today. The analysis was performed using the latest data collated from the past twelve years, with sampling period from 1st January 1994 to 31st December 2005. The empirical results show signs of the weekend and firm size effect, while no observation of January effect was sighted. The weekend and firm size effect results indicate a possible continuation of the anomalies discovered in past studies. A possible explanation for the absence of the January anomaly is the absence of tax gain practice in Singapore. During the study, a diminishing trend of the weekend effect was observed. However, further study is proposed to confirm the observation. Lastly, a short analysis of the intra-day effect was studied, and the analysis result infers the absence of the effect in the Singapore stock exchange. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20817/1/06MBASimMengHweeAndrew.pdf Sim, Meng Hwee Andrew (2006) Empirical Study On Anomalies Of Singapore Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) Singapore Singapore stock market market anomalies January effect weekend effect intra-day effect firm size effect |
| spellingShingle | Singapore Singapore stock market market anomalies January effect weekend effect intra-day effect firm size effect Sim, Meng Hwee Andrew Empirical Study On Anomalies Of Singapore Stock Market |
| title | Empirical Study On Anomalies Of Singapore Stock Market |
| title_full | Empirical Study On Anomalies Of Singapore Stock Market |
| title_fullStr | Empirical Study On Anomalies Of Singapore Stock Market |
| title_full_unstemmed | Empirical Study On Anomalies Of Singapore Stock Market |
| title_short | Empirical Study On Anomalies Of Singapore Stock Market |
| title_sort | empirical study on anomalies of singapore stock market |
| topic | Singapore Singapore stock market market anomalies January effect weekend effect intra-day effect firm size effect |
| url | https://eprints.nottingham.ac.uk/20817/ |