The Impact of Seasonal Anomalies on MSCI’s Selected Economies’ Stock Index Returns

Abstract

Purpose: This article explores the effect on four developing Asian financial markets on the day of this week (volatility).

Methodology: Regular market return data are gathered in their specific index from MSCI's selected economies, such as China, India, Malaysia and Pakistan. Yahoo's financial platform gathered index info. The selected sampling duration is between 2 May 2013 and 29 November 2017. The observational study was undertaken and the findings were concluded by the usage of a regression model to analyze day of consequence and the GARCH model to monitor conditional variance.

Findings: These findings suggest that all stock returns and volatility are substantially impacted by the day of the week in three nations, but both the return and the volatility result in each of the four cases are not similar. An investor may make abnormal gains by betting on a previously accessible information-based approach and investors may obtain invaluable insights into investment decisions.

Conclusion: If investors are conscious of this, they will adjust their investments in view of these shifts in stock returns.