Seasonalities in the Taiwanese stock market

Several studies have documented seasonal patterns in various financial assets, including common stock and corporate bonds, as well as in various derivative securities such as futures and options. The most widely documented patterns are the weekend effect and the January effect. The weekend effect is characterized by Monday's returns being systematically lower than the returns for the other days of the week. The effect is often attributed to the difference in information flows over the weekend relative to other days of the week and the length of the nontrading interval over the weekend. The January effect, on the other hand, is characterized by higher returns in January than those in other months of the year. An investigation of seasonal patterns in the emerging equity market of Taiwan is presented. In spite of its the economic importance in the Pacific Basin Region as well as in the world economy, very few studies exist that concentrate on Taiwan.