Stock Return Seasonalities in Asia Pacific Markets*

This study documents the existence of strong day‐of‐the‐week effects for most of the Asia Pacific markets. There are also more day‐of‐the‐week variations in the non‐January months than in January and there is also a ‘Rogalski’ effect for returns on Monday, Tuesday, Friday and Saturday. Moreover, some turn‐of‐the‐lunar‐year effects are found for some markets. Unlike the industrialized markets, month‐of‐the‐year variations are not consistent with the tax‐loss selling hypothesis in most of the Asia Pacific markets. This study also finds it hard to reject the hypothesis that day‐of‐the‐week variations of Asia Pacific markets are similar to that of the U.S. market after adjustments for time zone differences, especially for smaller markets.