Calendar Effects in The Philippine Stock Market - JITBM

International Journal of Information Technology and Business Management
29th July 2012. Vol.3 No. 1

© 2012 JITBM & ARF. All rights reserved
ISSN 2304-0777 www.jitbm.com
CALENDAR EFFECTS IN THE PHILIPPINE STOCK

MARKET
Catherine Kalayaan S. Almonte
Email: catherine.almonte@dlsu.edu.ph
ABSTRACT
The returns of the Philippine stock market’s Composite Index (PSEi) were tested for conformity
with Fama’s (1970) weak form of market efficiency (Almonte, 2004) using daily values from 2001 to 2010.
Analyses were made annually and cumulatively. The results revealed the existence of a day-of-the-week
effect, the month-of-the-year effect was evidently absent, and the quarter-of-the-year effect was also absent
with the exception of the phenomenon occurring in 2002. Thus, generally, traders are advised to buy
equities on a Tuesday and sell them on a Thursday or Friday.
Keywords: weak form of market efficiency, day-of-the-week effect, month-of-the-year effect,

quarter-of-the-year effect, stock market
1. INTRODUCTION stocks are fully and fairly priced, investors need

not waste time looking for mispriced securities”
One engages in trading equities for the (Gitman, 2009, p. 344).
purpose of earning returns that are substantially There are three forms of market
higher than the risk-free rate. It would be efficiency: (1) weak, (2) semi-strong, and (3)
beneficial for a trader to know if a pattern exists strong (Fama, 1970). The weak form asserts that
in a certain stock market to time one’s buying past prices is already factored into securities’
and selling activities in order to maximize prices; the semi-strong form suggests that public
returns (Almonte, 2004). Financial theory information is already incorporated into
suggests that timing the market is a waste of time securities’ prices; and the strong form says that
(Fama, 1970). However, as discussed by asymmetric information is already reflected into
Almonte (2004), various empirical research securities’ prices (Fama, 1970).
indicate otherwise (e.g. Poshakwale, 1996; Chia, Similar to a research done by Almonte
Liew, & Wafa, 2008; and Wyème & Olfa, 2011). (2004), this paper focuses on the weak form of
Hence, this paper aims to determine if a trend is market efficiency (Fama, 1970). The weak form
present in the Philippine stock market’s is related to the random walk behavior of stock
Composite Index (PSEi) by studying the day-of- prices (Fama, 1970). In essence, if securities
the-week (Almonte, 2004), month-of-the-year, prices follow a random walk, then trends (such
and quarter-of-the-year effects using daily as calendar effects) should not be present (Fama,
returns. The presence of any calendar effect may 1970; Aly, Mehdian, & Perry, 2004; Almonte,
be used by traders in conjunction with technical 2004).
analysis.
1.2. Day-of-the-Week Effect
1.1. Theoretical Framework
The weekend effect (also called the
The efficient market hypothesis (EMH) Monday Effect or the day-of-the-week effect)
states that prices of securities reflect all available refers to the trend that stock returns are higher on
information (Fama, 1970). It assumes a “. . . Fridays compared to Mondays (Weekend Effect,
“perfect” market in which (1) securities are n.d.; Hirt & Block, 2012). Consistent with
typically in equilibrium, (2) security prices fully Almonte (2004), a day-of-the-week effect is
reflect all public information available and react defined as at least one trading day in a week
swiftly to new information, and, (3) because wherein returns for that day are statistically
[64]
significantly different from at least one other 1.4. Quarter-of-the-Year Effect

day.
The quarter-of-the-year effect is the
1.3. Month-of-the-Year Effect occurrence where securities prices for at least
one quarter are statistically significantly different
The January Effect refers to the from at least one other quarter (Davidsson,
phenomenon that stock prices are generally 2006).
higher on January because investors sell their
stocks on December to record losses for tax 1.5. The Association of Southeast Asian
purposes and then buy back the shares on Nations (ASEAN) Exchanges
January (Mishkin & Eakins, 2006; Fama &
French, 1980 (in Hirt & Block, 2012)). For The ASEAN Exchanges is comprised of
purposes of this paper, consistent with seven exchanges (located in six countries) that
Selvakumar (2011), a month-of-the-year effect is work together to promote the ASEAN capital
defined as at least one month in a calendar year market (ASEAN Exchanges website,
wherein returns for that month are statistically http://www.aseanexchanges.org/, 2011).
significantly different from at least one other Selected data about the member exchanges are
month. given in Table 1 (ASEAN Exchanges website,
http://www.aseanexchanges.org/, 2011).
Table 1.
SELECTED DATA: ASEAN EXCHANGES MEMBERS
As of March 31, 2011 (for BM, HNX, HOSE, IDX, PSE, SET); As of December 31, 2010 (for SGX)
Country Malaysia Vietnam Vietnam Indonesia Philippines Thailand Singapore
Stock Bursa The The Indonesia The The Stock Singapore
Exchange Malaysia Hanoi Hochi- Stock Philippine Exchange Exchange
(BM) Stock minh Exchange Stock of (SGX)
Exchange Stock (IDX) Exchange Thailand
(HNX) Exchange (PSE) (SET)
(HOSE)
Listed 955 379 283 422 249 541 782
Compa-
nies
Domestic 426,000 5,359 28,286 376,599 159,402 277,732 728,760
Capitali-
zation (in
USD
millions)
Turnover 42% No 57.1% 32.21% 17.16% 83.5% 43%
Velocity available Mainboard,
data 32% Catalist
The BM has the most number of exchanges). Moreover, the Philippines’

companies that are publicly listed, representing domestic capitalization is only 8% (159,402
26% (955 out of 3,611) of the total. The SGX divided by 2,002,138) of the group. With
leads the group when it comes to domestic regards to turnover velocity, save for the HNX
capitalization, representing 36% (728,760 wherein no data was available, the PSE has the
divided by 2,002,138) of the total while the SET lowest number at 17%. Clearly, the Philippine
leads the pack in terms of turnover velocity. equities market has room for improvement.
The focus of the paper is on the
Philippine market. The number of firms listed in 1.6. An Overview of the Philippine Stock
the Philippines represents only 7% (249 out of Market
3,611) of the total. In terms of domestic
capitalization, it is ranked fifth (behind the The Philippine Stock Exchange (PSE) is
Singapore, Malaysia, Indonesia, and Thailand the organized securities exchange in the
[65]
Philippines. As one industry veteran better compared to Friday returns (Almonte, 2004), a
describes the exchange, it “. . . is the organized paper on the “. . . Taiwan, Singapore, Hong
securities exchange for equities and equity- Kong and South Korea stock markets” (Chia,
linked derivatives in the Liew, & Wafa, 2008, p. 1) that determined
Philippines. . . ” (J.J.F. Lago, personal Monday returns were negative while Friday
communication, January 30, 2012). returns were positive for all markets except
Its main index, the Philippine South Korea’s (Chia et al., 2008), and a study on
Composite Index (PSEi), is comprised of 30 the Pakistani stock market that concluded
firms (PSE Academy website, positive returns for Tuesdays (Hussain, Hamid,
http://www.pseacademy.com.ph/LM/glossary/Gl Akash, & Khan, 2011).
ossary.html#P, 2011) belonging to different Thus, as with Almonte (2004), various
sectors such as: financials, holding companies, empirical researches provide inconclusive
industrials, property, services, and mining and evidence regarding the presence of the day-of-
oil (The Philippine Stock Exchange, Inc., the-week effect in different equities markets.
2011a).
The PSE uses a five-day trading week 2.2. Month-of-the-Year Effect
(from Monday to Friday) except for holidays and
when the Clearing Office of the Bangko Sentral A study on the returns of the Bahrain
ng Pilipinas (BSP) is closed (The Philippine All Share Index revealed that a month-of-the-
Stock Exchange, Inc. website, year effect was non-existent, even when the time
http://www.pse.com.ph/, 2007). Up until period of the study was divided into two periods:
September 2011, trading hours start from 9:30 (1) pre-global financial crisis and (2) during the
AM and ends at 12:10 PM (The Philippine Stock crisis (Al-Jafari, 2011). Selvakumar’s (2011)
Exchange, Inc. website, http://www.pse.com.ph/, paper also did not support a month-of-the-year
2007). From October 2011 until December effect.
2011, trading hours were extended until 1:00 PM Contrary to the results of the Al-Jafari
(The Philippine Stock Exchange, Inc., 2011b). (2011) and Selvakumar (2011) researches, other
Beginning the year 2012, trading hours were studies supported the existence of a month-of-
changed to last for the whole day, from 9:30 AM the-year effect. Examples include: a paper that
to 3:30 PM (The Philippine Stock Exchange, examined the returns of the Karachi Stock
Inc., 2011c). Exchange where May returns were negative
compared to January returns (Zafar, Urooj, &
2. LITERATURE Farooq, 2010), a research on the returns of the
Australian stock market where “. . . April, July
2.1. Day-of-the-Week Effect and December. . . ” (Marrett & Worthington,
2011, p. 3) returns were higher compared to that
A paper about the Egyptian stock of other months (Marrett & Worthington, 2011),
market did not support the existence of the day- and a study on the returns of the Tunis Stock
of-the-week effect (Aly et al., 2004); thus, said Exchange (TSE) where April returns were higher
research supports the weak form of market compared to that of other months (Wyème &
efficiency (Fama, 1970). Olfa, 2011).
On the other hand, other studies Therefore, similar with the studies
contradict said phenomenon (Almonte, 2004). about day-of-the-week effects (Almonte, 2004),
Some examples are: a study of the Bombay different studies show inconclusive evidence
Stock Exchange National Index (BSENI) regarding the existence of the month-of-the-year
wherein it was concluded that Monday returns effect in various stock markets.
were at their lowest while Friday returns were at
their highest (Poshakwale, 1996), another paper 2.3. Quarter-of-the-Year Effect
on the Indian stock market showed that Friday
returns were highest compared to the other To date, very few empirical studies
trading days of the week (Selvakumar, 2011), a have been found with regards to the quarter-of-
research on the Philippine stock market’s the-year effect. Davidsson (2006) found such an
Composite Index that showed Monday and effect in his study of the S&P 500 index using
Tuesday returns were significantly lower data from 1970-2005 (the fourth quarter was the
[66]
best period). The CXO Advisory Group, LLC the month in the year, and the quarter in the year:
(http://www.cxoadvisory.com/4080/calendar- a day referring to Monday was coded as 1,
effects/end-of-quarter-effect/, June 14, 2012) Tuesday was coded as 2, and so on; a month
also studied the existence of the quarter-of-the referring to January was coded as 1, February
year effect in the S&P 500 index using data from was coded as 2, and so on; a quarter referring to
1950-2012 and, consistent with Davidsson the first quarter of the calendar year was coded
(2006), determined that the fourth quarter was as 1, a quarter referring to the second quarter of
the best. the calendar year was coded as 2, and so on.
The lack of literature on this particular All statistical calculations were done
calendar anomaly is primarily the reason why it using the software XLSTAT 2011.
is being studied in this paper. The returns were tested for normality.
The results indicate that the returns of the PSEi
are not normally distributed (Table 2A and Table
2B). Hence, consistent with Almonte (2004), the
3. HYPOTHESES Kruskal-Wallis Test was used to test the
presence of calendar effects in the market.
H1 The day-of-the-week effect Any existence of a calendar effect was
exists in the Philippine stock further explored by determining which day,
market (Almonte, 2004). month, or quarter was statistically significantly
H2 The month-of-the-year effect different from a different day, month, or quarter
exists in the Philippine stock by using the Steel-Dwass-Critchlow-Fligner
market. Procedure embedded in the software.
H3 The quarter-of-the-year effect Summary statistics were analyzed
exists in the Philippine stock somewhat similar to what was done by Agathee
market. (2008).
This research is an updated and more
4. METHODOLOGY detailed version of what was done by Almonte
(2004).
The PSEi was used as the sample to
study the presence of calendar effects in the
Philippine stock market.
Since the trading hours of the Philippine
market were changed on October 2011 (The
Philippine Stock Exchange, Inc., 2011b), the
time frame of the study was set from the year
2001 to 2010 (the last ten years wherein the last
year reflected the end of a calendar year).
The data of the PSEi was obtained
through Technistock (used by professionals to
access data regarding securities).
Using daily returns as the main data,
analyses were conducted annually (e.g. 2001,
2002, and so on) and cumulatively (e.g. from
2001 to 2002, 2001 to 2003, and so on) to test if
any of the calendar effects exists and/or persists.
Returns were computed using the
formula (Keown, Martin, Petty, & Scott, Jr.,
2005):
Value at time t
Return  1
Value at time t  1
Similar to Almonte (2004), numeric

codes were used to signify the day in the week,
[67]
Table 2. A.
TEST FOR NORMALITY
Jarque-Bera Test at  = 0.05
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
JB 20,119 31.008 27.793 11.26 6.728 41.803 397.41 315.81 18.479 10.509
(Observed .316 8 4 2
Value)
JB (Critical 5.991 5.991 5.991 5.991 5.991 5.991 5.991 5.991 5.991 5.991
Value)
DF 2 2 2 2 2 2 2 2 2 2
p-value < < < 0.004 0.035 < < < < 0.005
0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001
Table 2. B.
TEST FOR NORMALITY
Jarque-Bera Test at  = 0.05
2001 2001 2001 2001 2001 2001 2001 2001 2001
to to to to to to to to to
2002 2003 2004 2005 2006 2007 2008 2009 2010
JB 39,362 43,163 46,151 45,956 39,790 29,210 21,293 20,243 22,052
(Observed Value) .009 .114 .256 .672 .870 .826 .392 .562 .724
JB (Critical Value) 5.991 5.991 5.991 5.991 5.991 5.991 5.991 5.991 5.991
DF 2 2 2 2 2 2 2 2 2
p-value < < < < < < < < <
0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001
5. RESULTS AND ANALYSIS
Based on the data presented in Table According to the results presented in

3A, Tuesdays had the most number of lowest Table 3B, Tuesdays had the most number of
mean returns (five out of ten years, i.e. 2001, lowest mean returns (nine out of nine times, i.e.
2002, 2005, 2006, and 2009) followed by 2001 to 2002, 2001 to 2003 until 2001 to 2010).
Mondays (four out of ten years, i.e. 2003, 2004, Fridays had the most number of highest mean
2005, and 2007). On the other hand, Thursdays returns (seven out of nine times, i.e. 2001 to
had the most number of highest mean returns 2002, 2001 to 2003 until 2001 to 2008) followed
(six out of ten years, i.e. 2003, 2005, 2006, 2007, by Thursdays (five out of nine times, i.e. 2001 to
2009, and 2010). In terms of trading days, 2006, 2001 to 2007 until 2001 to 2010). With
Mondays had the least number in eight out of ten regards to the number of trading days, Mondays
years (i.e. 2001, 2002, 2004, 2005, 2006, 2007, had the least number of trading days in eight out
2008, and 2010) while Tuesdays had the most of nine times (i.e. all cumulative periods with the
number in seven out of ten years (i.e. 2002, exception of the years 2001 to 2003) while
2003, 2004, 2005, 2008, 2009, and 2010) Tuesdays had the most number in six out of nine
followed by Wednesdays (in six out of ten years, times (i.e. 2001 to 2003, 2001 to 2004, 2001 to
i.e. 2001, 2005, 2006, 2007, 2008, and 2010). 2005, 2001 to 2006, 2001 to 2009, and 2001 to
2010) followed by Wednesdays (in four out of
nine times, i.e. 2001 to 2002, 2001 to 2003, 2001
to 2007, and 2001 to 2008).
[68]
Table 3. A.
SUMMARY STATISTICS
Day-of-the-Week Effect
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Return
1
Obs. 47 48 51 47 45 47 44 45 46 44
Mean 0.001 -0.001 0.001 -0.002 -0.001 0.002 -0.001 -0.004 0.002 0.001
Return
2
Obs. 49 50 51 52 51 50 50 51 52 51
Mean -0.005 -0.003 0.002 0.001 -0.001 -0.002 0.004 -0.003 0.000 0.000
Return
3
Obs. 52 49 49 50 51 51 52 51 50 51
Mean -0.003 -0.001 0.001 0.003 0.002 -0.002 -0.001 0.003 0.002 0.001
Return
4
Obs. 50 50 49 50 51 50 50 49 49 51
Mean 0.000 0.000 0.002 0.001 0.002 0.006 0.004 -0.005 0.004 0.004
Return
5
Obs. 49 49 47 48 48 49 48 50 45 47
Mean 0.003 0.001 0.002 0.001 0.001 0.004 -0.001 -0.003 0.003 -
0.001
Table 3. B.
SUMMARY STATISTICS
Day-of-the-Week Effect
2001 2001 2001 2001 2001 2001 2001 2001 2001
2002 2003 2004 2005 2006 2007 2008 2009 2010
Return  1
Obs. 95 146 193 238 285 329 374 420 464
Mean 0.000 0.000 0.000 0.000 0.000 0.000 -0.001 0.000 0.000
Return  2
Obs. 99 150 202 253 303 353 404 456 507
Mean -0.004 -0.002 -0.001 -0.001 -0.001 0.000 -0.001 -0.001 -0.001
Return  3
Obs. 101 150 200 251 302 354 405 455 506
Mean -0.002 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Return  4
Obs. 100 149 199 250 300 350 399 448 499
Mean 0.000 0.001 0.001 0.001 0.002 0.002 0.001 0.002 0.002
Return  5
Obs. 98 145 193 241 290 338 388 433 480
Mean 0.002 0.002 0.002 0.002 0.002 0.002 0.001 0.001 0.001
The Kruskal-Wallis Test shows that the

day-of-the-week effect is only evident during the
years 2001 and 2006 (Table 4A). However,
when the years were accumulated, the
phenomenon is present at all times (Table 4B).
[69]
Table 4. A.
TEST FOR DAY-OF-THE-WEEK EFFECT
Kruskal-Wallis Test at  = 0.05
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
K 12.893 6.718 0.878 6.636 2.432 19.555 2.243 6.419 3.190 6.668
(Observed
Value)
K (Critical 9.488 9.488 9.488 9.488 9.488 9.488 9.488 9.488 9.488 9.488
Value)
DF 4 4 4 4 4 4 4 4 4 4
Asymptotic 0.012 0.152 0.928 0.156 0.657 0.001 0.691 0.170 0.527 0.155
p-value
(two-tailed)
Table 4. B.
TEST FOR DAY-OF-THE-WEEK EFFECT
2001 to 2001 2001 2001 2001 2001 2001 2001 2001
2002 to to to to to to to to
2003 2004 2005 2006 2007 2008 2009 2010
K (Observed 18.867 12.347 11.073 12.818 19.167 17.063 12.129 14.516 15.347
Value)
K (Critical Value) 9.488 9.488 9.488 9.488 9.488 9.488 9.488 9.488 9.488
DF 4 4 4 4 4 4 4 4 4
Asymptotic p- 0.001 0.015 0.026 0.012 0.001 0.002 0.016 0.006 0.004
value (two-tailed)
For the year 2001 (Table 5A), there was Wednesday is preferred given that it has the
a significant difference between Tuesday and lowest mean rank of 100.843 among the five
Friday returns. The result suggests that one buy trading days) and sell on a Thursday (since it has
on a Tuesday (since it has the lowest mean rank the highest mean rank of 157.860).
of 99.306) and sell on a Friday (since it has the
highest mean rank of 149.918) Table 5. B.
SIGNIFICANCE OF THE DAY-OF-THE-WEEK
Table 5. A. EFFECT FOR 2006
SIGNIFICANCE OF THE DAY-OF-THE-WEEK Steel-Dwass-Critchlow-Fligner Procedure;
EFFECT FOR 2001 Bonferroni Correction
Steel-Dwass-Critchlow-Fligner Procedure; Obs. Sum of Mean of
Bonferroni Correction Ranks Ranks
Obs. Sum of Mean of Return  1 47 5,740.0000 122.128
Ranks Ranks Return  2 50 5,415.0000 108.300
Return  1 47 5,612.0000 119.404 Return  3 51 5,143.0000 100.843
Return  2 49 4,866.0000 99.306 Return  4 50 7,893.0000 157.860
Return  3 52 6,314.0000 121.423 Return  5 49 6,437.0000 131.367
Return  4 50 6,490.0000 129.800 Significant Return  2 and Return  4 at 0.011,
Return  5 49 7,346.0000 149.918 p-values Return  3 and Return  4 at 0.000
Significant Return  2 and Return  5 at 0.003
p-value For the years 2001 to 2002 (Table 5C),
2001 to 2003 (Table 5D), and 2001 to 2004
For the year 2006 (Table 5B), there (Table 5E), there were consistently significant
were several significant differences among the differences between Tuesday and Friday returns.
trading days. Specifically, Tuesday returns were The results suggest that one buy on a Tuesday
different from Thursday returns while (the day with the lowest mean rank) and sell on a
Wednesday returns were different from Thursday Friday (the day with the highest mean rank).
returns. The results indicate that one buy on
either a Tuesday or a Wednesday (although
[70]
Table 5. C. Table 5. F.
SIGNIFICANCE OF THE DAY-OF-THE-WEEK SIGNIFICANCE OF THE DAY-OF-THE-WEEK
EFFECT FOR 2001 to 2002 EFFECT FOR 2001 to 2005
Steel-Dwass-Critchlow-Fligner Procedure; Steel-Dwass-Critchlow-Fligner Procedure;
Bonferroni Correction Bonferroni Correction
Obs. Sum of Mean of Obs. Sum of Ranks Mean of
Ranks Ranks Ranks
Return  1 95 22,725.000 239.211 Return  1 238 137,610.000 578.193
Return  2 99 20,040.000 202.424 Return  2 253 145,137.000 573.664
Return  3 101 24,918.000 246.713 Return  3 251 156,800.000 624.701
Return  4 100 25,828.000 258.280 Return  4 250 160,097.000 640.388
Return  5 98 28,260.000 288.367 Return  5 241 161,117.000 668.535
Significant Return  2 and Return  5 at 0.000 Significant Return  1 and Return  5 at 0.039,
p-value p-values Return  2 and Return  5 at 0.031
Table 5. D.
SIGNIFICANCE OF THE DAY-OF-THE-WEEK For the years 2001 to 2006 (Table 5G),
EFFECT FOR 2001 to 2003 there were several significant differences among
Steel-Dwass-Critchlow-Fligner Procedure;
the different trading days. Specifically, Monday
Bonferroni Correction
Obs. Sum of Mean of
returns were different from Thursday returns,
Ranks Ranks Monday returns were different from Friday
Return  1 146 52,830.000 361.849 returns, Tuesday returns were different from
Return  2 150 49,688.000 331.253 Thursday returns, and Tuesday returns were
Return  3 150 54,495.000 363.300 different from Friday returns. The result
Return  4 149 56,890.000 381.812 indicates that one buy either on a Monday or
Return  5 145 60,267.000 415.634 Tuesday (although Tuesday is preferred given
Significant Return  2 and Return  5 at 0.007 that it has the lowest mean rank of 681.261) and
p-value sells either on a Thursday or a Friday (although
Friday is preferred given that it has the highest
Table 5. E. mean rank of 798.831).
EFFECT FOR 2001 to 2004 Table 5. G.
Steel-Dwass-Critchlow-Fligner Procedure; SIGNIFICANCE OF THE DAY-OF-THE-WEEK
Bonferroni Correction EFFECT FOR 2001 to 2006
Obs. Sum of Ranks Mean of Steel-Dwass-Critchlow-Fligner Procedure;
Ranks Bonferroni Correction
Return  1 193 89,588.000 464.187 Obs. Sum of Ranks Mean of
Return  2 202 92,434.000 457.594 Ranks
Return  3 200 100,392.000 501.960 Return  1 285 199,747.000 700.867
Return  4 199 100,876.000 506.915 Return  2 303 206,422.000 681.261
Return  5 193 104,288.000 540.352 Return  3 302 219,186.000 725.781
Significant Return  2 and Return  5 at 0.037 Return  4 300 238,924.000 796.413
p-value Return  5 290 231,661.000 798.831
Significant Return  1 and Return  4 at 0.046,
For the years 2001 to 2005 (Table 5F), p-values Return  1 and Return  5 at 0.041,
there were significant differences between Return  2 and Return  4 at 0.013,
Monday and Friday returns as well as Tuesday Return  2 and Return  5 at 0.008
and Friday returns. The result suggests that one
buy on either a Monday or a Tuesday (although For the years 2001 to 2007 (Table 5H),
Tuesday is preferred given its lowest mean rank there were again several significant differences
value of 573.664) and sell on a Friday (since it among the five trading days. Specifically,
has the highest mean rank of 668.535). Monday returns were different from Thursday
returns, Tuesday returns were different from
Thursday returns, and Tuesday returns were
[71]
different from Friday returns. The result

suggests that one buy either on a Monday or a Table 5. I.
Tuesday (although Tuesday is preferred given SIGNIFICANCE OF THE DAY-OF-THE-WEEK
that has the lowest mean rank of 810.082) and EFFECT FOR 2001 to 2008
sell either on a Thursday or a Friday (although Steel-Dwass-Critchlow-Fligner Procedure;
Thursday is preferred given that it has the
Obs. Sum of Ranks Mean of
highest mean rank of 927.666). Ranks
Table 5. H.
Return  1 374 353,760.000 945.882
EFFECT FOR 2001 to 2007 Return  2 404 373,821.000 925.300
Steel-Dwass-Critchlow-Fligner Procedure; Return  3 405 400,089.000 987.874
Bonferroni Correction Return  4 399 414,511.000 1,038.875
Obs. Sum of Ranks Mean of Return  5 388 399,254.000 1,029.005
Ranks Significant Return  2 and Return  4 at 0.045
Return  1 329 269,036.000 817.739 p-value
Return  2 353 285,959.000 810.082
Return  3 354 297,798.000 841.237
Return  4 350 324,683.000 927.666 Table 5. J.
Return  5 338 309,474.000 915.604 SIGNIFICANCE OF THE DAY-OF-THE-WEEK
Significant Return  1 and Return  4 at 0.030, EFFECT FOR 2001 to 2009
Steel-Dwass-Critchlow-Fligner Procedure;
p-values Return  2 and Return  4 at 0.020,
Return  2 and Return  5 at 0.045
Obs. Sum of Ranks Mean of
Ranks
For the years 2001 to 2008 (Table 5I), Return  1 420 446,348.000 1,062.733
2001 to 2009 (Table 5J), and 2001 to 2010 Return  2 456 471,602.000 1,034.215
(Table 5K), there were consistently significant Return  3 455 506,864.000 1,113.987
differences between Tuesday and Thursday Return  4 448 524,788.000 1,171.402
returns. The results suggest one buy on a Return  5 433 497,976.000 1,150.060
Tuesday (the day with the lowest mean rank) and Significant Return  2 and Return  4 at 0.014
sell on a Thursday (the day with the highest p-value
mean rank).
Summarizing the combinations with Table 5. K.
significant differences, Tuesday differing from SIGNIFICANCE OF THE DAY-OF-THE-WEEK
Friday returns occurs seven times, Tuesday EFFECT FOR 2001 to 2010
differing from Thursday returns occurs six times, Steel-Dwass-Critchlow-Fligner Procedure;
Monday differing from Thursday returns occurs Bonferroni Correction
two times, Monday differing from Friday returns Obs. Sum of Ranks Mean of
occurs two times, and Wednesday differing from Ranks
Thursday returns occurs one time. The Return  1 464 551,144.000 1,187.810
popularity of the Tuesday/Friday and the Return  2 507 582,224.000 1,148.371
Tuesday/Thursday combinations may be due to Return  3 506 626,972.000 1,239.075
holidays and/or non-trading days that fall on a Return  4 499 653,156.000 1,308.930
Monday and/or a Friday. Return  5 480 603,700.000 1,257.708
p-value
Based on the data on Table 6A, March,

June, September, and November had the most
number of lowest mean returns (each at two out
of ten years). For March, the years are 2004 and
2005. For June, the years are 2002 and 2006.
For September, the years are 2001 and 2009.
For November, the years are 2003 and 2010. On
the other hand, January, July, and September had
the most number of highest mean returns (each at
[72]
three out of ten years). For January, the years periods were covered: 2001 to 2002, 2001 to
are 2002, 2005, and 2007. For July, the years are 2003, 2001 to 2008, 2001 to 2009, and 2001 to
2006, 2008, and 2009. For September, the years 2010. January consistently had the highest mean
are 2004, 2006, and 2010. In terms of trading returns (i.e. from 2001 to 2002, 2001 to 2003
days, December had the least number in seven until 2001 to 2010). With regards to the number
out of ten years (i.e. 2001 to 2004, 2006 to 2008) of trading days, December consistently had the
while March and July had the most number (each least number of trading days (i.e. from 2001 to
at five out of ten years). For March, the years 2002, 2001 to 2003 until 2001 to 2010) while
are 2004, 2006, 2007, 2009, and 2010. For July, July had the most number in five out of nine
the years are 2002, 2003, 2007, 2008, and 2009. times (i.e. 2001 to 2004, 2001 to 2005, 2001 to
As per the results shown in Table 6B, 2008, 2001 to 2009, and 2001 to 2010), followed
March, August, and October had the most by August and October (both at four out of nine
number of lowest mean returns (each at five out times). For August, the following periods were
of nine times). For March, the following periods covered: 2001 to 2002, 2001 to 2005, 2001 to
were covered: 2001 to 2004, 2001 to 2005 until 2006, and 2001 to 2007. For October, the
2001 to 2008. For August, the following periods following periods were covered: 2001 to 2002,
were covered: 2001 to 2003, 2001 to 2006 until 2001 to 2003, 2001 to 2004, and 2001 to 2005.
2001 to 2009. For October, the following
Table 6. A.
SUMMARY STATISTICS
Month-of-the-Year Effect
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Return
1
Obs. 22 22 22 20 21 22 22 22 20 20
Mean 0.006 0.007 0.002 0.002 0.005 0.001 0.004 -0.004 - -
0.001 0.002
Return
2
Obs. 20 19 19 19 19 20 20 20 20 20
Mean - 0.002 -0.002 -0.001 0.002 0.000 -0.003 -0.002 0.001 0.002
0.002
Return
3
Obs. 22 19 21 23 20 23 22 19 22 23
Mean - 0.000 0.001 -0.002 -0.003 0.001 0.002 -0.002 0.003 0.002
0.005
Return
4
Obs. 18 21 19 19 21 18 18 21 19 19
Mean - -0.002 0.002 0.005 -0.002 0.002 0.001 -0.004 0.003 0.002
0.003
Return
5
Obs. 21 22 20 20 21 22 21 21 20 19
Mean 0.001 -0.001 0.000 -0.001 0.002 0.001 0.003 0.001 0.006 0.000
Return
6
Obs. 20 19 20 22 21 21 20 20 21 20
Mean 0.000 -0.007 0.007 0.002 0.000 -0.002 0.003 -0.007 0.001 0.002
Return
7
Obs. 22 22 23 22 20 20 22 23 22 22
Mean - -0.001 0.001 0.000 0.002 0.005 -0.002 0.002 0.006 0.001
0.002
[73]
Return
8
Obs. 23 22 20 22 22 22 21 19 18 21
Mean - -0.001 -0.002 0.000 -0.001 -0.001 -0.001 0.002 0.002 0.002
0.003
Return
9
Obs. 20 21 22 22 22 19 20 22 20 21
Mean - 0.001 0.004 0.005 0.000 0.005 0.003 -0.002 - 0.007
0.006 0.001
Return
 10
Obs. 23 22 23 21 20 21 21 22 22 20
Mean - -0.003 0.003 0.002 0.000 0.003 0.003 -0.011 0.002 0.002
0.005
Return
 11
Obs. 19 20 19 19 19 21 19 20 19 19
Mean 0.007 0.000 -0.003 0.000 0.004 0.001 -0.002 0.001 0.002 -
0.004
Return
 12
Obs. 17 17 19 18 20 18 18 17 19 20
Mean 0.002 -0.002 0.005 0.000 0.000 0.004 0.001 -0.003 0.000 0.003
Table 6. B.
SUMMARY STATISTICS
Month-of-the-Year Effect
2001 2001 2001 2001 2001 2001 2001 2001 2001
2002 2003 2004 2005 2006 2007 2008 2009 2010
Return  1
Obs. 44 66 86 107 129 151 173 193 213
Mean 0.007 0.005 0.004 0.005 0.004 0.004 0.003 0.002 0.002
Return  2
Obs. 39 58 77 96 116 136 156 176 196
Mean 0.000 -0.001 -0.001 0.000 0.000 -0.001 -0.001 -0.001 0.000
Return  3
Obs. 41 62 85 105 128 150 169 191 214
Mean -0.003 -0.001 -0.002 -0.002 -0.001 -0.001 -0.001 0.000 0.000
Return  4
Obs. 39 58 77 98 116 134 155 174 193
Mean -0.002 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Return  5
Obs. 43 63 83 104 126 147 168 188 207
Mean 0.000 0.000 0.000 0.000 0.000 0.001 0.001 0.001 0.001
Return  6
Obs. 39 59 81 102 123 143 163 184 204
Mean -0.003 0.000 0.001 0.001 0.000 0.000 0.000 0.000 0.000
Return  7
Obs. 44 67 89 109 129 151 174 196 218
Mean -0.001 -0.001 0.000 0.000 0.001 0.000 0.001 0.001 0.001
Return  8
Obs. 45 65 87 109 131 152 171 189 210
Mean -0.002 -0.002 -0.001 -0.001 -0.001 -0.001 -0.001 -0.001 0.000
Return  9
[74]
Obs. 41 63 85 107 126 146 168 188 209

Mean -0.002 0.000 0.001 0.001 0.002 0.002 0.001 0.001 0.002
Return  10
Obs. 45 68 89 109 130 151 173 195 215
Mean -0.004 -0.002 -0.001 -0.001 0.000 0.000 -0.001 -0.001 -
0.001
Return  11
Obs. 39 58 77 96 117 136 156 175 194
Mean 0.003 0.001 0.001 0.002 0.001 0.001 0.001 0.001 0.001
Return  12
Obs. 34 53 71 91 109 127 144 163 183
Mean 0.000 0.002 0.001 0.001 0.002 0.001 0.001 0.001 0.001
The Kruskal-Wallis Test (Table 7A and transaction (number of shares multiplied by the
Table 7B) shows that the month-of-the-year selling price per share), regardless of the sale
effect is non-existent in the Philippine stock being a gain or a loss (The Philippine Stock
market. Exchange, Inc. old website,
It is quite surprising that the month-of- http://www2.pse.com.ph/, 2001). Other
the-year effect is non-existent in the local countries have different tax laws such that one
equities market given that the Philippines is part may strategically sell on December (to report a
of the world’s emerging economies. Perhaps, loss) and buy back the shares on January
the result has something to do with how equity (Mishkin & Eakins, 2006; Fama & French, 1980
sales are locally taxed. In the Philippines, there (in Hirt & Block, 2012)); thus, creating a month-
is a flat tax rate based on the value of the of-the-year pattern.
Table 7. A.
TEST FOR MONTH-OF-THE-YEAR EFFECT
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
K (Ob- 16.811 14.616 11.016 8.486 9.322 9.474 6.490 9.474 11.331 12.907
served
Value)
K 19.675 19.675 19.675 19.675 19.675 19.675 19.675 19.675 19.675 19.675
(Critical
Value)
DF 11 11 11 11 11 11 11 11 11 11
Asymp- 0.114 0.201 0.442 0.669 0.592 0.578 0.839 0.578 0.416 0.299
totic
p-value
(two-
tailed)
Table 7. B.
TEST FOR MONTH-OF-THE-YEAR EFFECT
2001 2001 2001 2001 2001 2001 2001 2001 2001
2002 2003 2004 2005 2006 2007 2008 2009 2010
K 16.153 10.361 9.582 11.943 13.687 15.484 14.095 11.173 9.618
(Observed Value)
K (Critical Value) 19.675 19.675 19.675 19.675 19.675 19.675 19.675 19.675 19.675
DF 11 11 11 11 11 11 11 11 11
Asymptotic 0.136 0.498 0.568 0.368 0.251 0.161 0.228 0.429 0.565
p-value
(two-tailed)
[75]
Based on the results presented in Table seven out of ten years (i.e. 2001 until 2005,
8A, quarter 4 had the most number of lowest 2008, and 2010).
mean returns (four out of ten years). These were As presented in Table 8B, quarter 2 had
in 2007 until 2010. The rest of the quarters had the most number of lowest mean returns (seven
lowest mean returns each at three out of ten out of nine times). These were in 2001 to 2002,
years. For quarter 1, these were in the years 2001 to 2004 until 2001 to 2007, 2001 to 2009,
2003, 2004, and 2009. For quarter 2, there were and 2001 to 2010. Quarter 3 was next (incurring
in 2002, 2005, and 2006. For quarter 3, these lowest mean returns in six out of nine times;
were in 2001, 2005, and 2007. On the other 2001 to 2002 until 2001 to 2007). On the other
hand, quarters 2 and 3 generated the most hand, quarter 1 had the most number of highest
number of highest mean returns (each at four out mean returns (seven out of nine times). These
of ten years). For quarter 2, these were in years were in 2001 to 2002 until 2001 to 2007, and
2003, 2004, 2007, and 2009. For quarter 3, these 2001 to 2010. No lowest and no highest mean
were in years 2004, 2006, 2008, and 2010. returns were assigned to any quarter for 2001 to
Quarter 4 is not far behind, incurring highest 2008 because all periods generated equal values.
mean returns in three out of ten years. These In terms of trading days, quarter 4 and quarter 3
were in 2001, 2005, and 2006. In terms of were consistent in having the least and most
trading days, quarter 4 had the least number in number of trading days (for all periods),
eight out of ten years (i.e. 2001, 2002, 2004 until respectively.
2009) while quarter 3 had the most number in
Table 8. A.
SUMMARY STATISTICS
Quarter-of-the-Year Effect
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Return
1
Obs. 64 60 62 62 60 65 64 61 62 63
Mean 0.000 0.003 0.000 0.000 0.001 0.001 0.001 -0.003 0.001 0.001
Return
2
Obs. 59 62 59 61 63 61 59 62 60 58
Mean 0.000 -0.003 0.003 0.002 0.000 0.000 0.002 -0.003 0.004 0.001
Return
3
Obs. 65 65 65 66 64 61 63 64 60 64
Mean -0.003 0.000 0.001 0.002 0.000 0.003 0.000 0.001 0.002 0.003
Return
4
Obs. 59 59 61 58 59 60 58 59 60 59
Mean 0.001 -0.002 0.002 0.001 0.001 0.003 0.000 -0.005 0.001 0.000
[76]
Table 8. B.
SUMMARY STATISTICS
Quarter-of-the-Year Effect
2001 2001 2001 2001 2001 2001 2001 2001 2001
2002 2003 2004 2005 2006 2007 2008 2009 2010
Return  1
Obs. 124 186 248 308 373 437 498 560 623
Mean 0.001 0.001 0.001 0.001 0.001 0.001 0.000 0.000 0.001
Return  2
Obs. 121 180 241 304 365 424 486 546 604
Mean -0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Return  3
Obs. 130 195 261 325 386 449 513 573 637
Mean -0.002 -0.001 0.000 0.000 0.000 0.000 0.000 0.001 0.001
Return  4
Obs. 118 179 237 296 356 414 473 533 592
Mean 0.000 0.000 0.000 0.001 0.001 0.001 0.000 0.000 0.000
The Kruskal-Wallis Test shows that quite interesting given the common belief of
there is no quarter-of-the-year effect (Table 9A window dressing activities towards the end of
and Table 9B) except for 2002. the calendar year.
The non-existence of both the month-
of-the-year and quarter-of-the-year effects are
Table 9. A.
TEST FOR QUARTER-OF-THE-YEAR EFFECT
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
K (Observed 3.582 9.342 0.744 2.180 0.487 2.248 2.018 2.482 2.234 2.827
Value)
K (Critical 7.815 7.815 7.815 7.815 7.815 7.815 7.815 7.815 7.815 7.815
Value)
DF 3 3 3 3 3 3 3 3 3 3
Asymptotic 0.310 0.025 0.863 0.536 0.922 0.523 0.569 0.479 0.525 0.419
p-value
(two-tailed)
Table 9. B.
TEST FOR QUARTER-OF-THE-YEAR EFFECT
2001 to 2001 2001 2001 2001 2001 2001 2001 2001
2002 to to to to to to to to
2003 2004 2005 2006 2007 2008 2009 2010
K 3.069 1.819 0.207 0.479 0.945 0.853 0.961 0.201 0.447
(Observed Value)
K (Critical Value) 7.815 7.815 7.815 7.815 7.815 7.815 7.815 7.815 7.815
DF 3 3 3 3 3 3 3 3 3
Asymptotic 0.381 0.611 0.976 0.924 0.815 0.837 0.811 0.977 0.930
p-value
(two-tailed)
[77]
For the year 2002 (Table 10A), there for the cumulative analysis, the summary
was a significant difference between the return of statistics (Table 6B) indicate that there were
quarter 1 and the return of quarter 2. The results several months that accounted for the most
indicate that one buy on quarter 2 (lowest mean number of lowest mean returns and that January
rank of 106.984) and sell on quarter 1 (highest consistently had the highest mean returns
mean rank of 144.500). (although statistically insignificant). A possible
explanation for January’s highest mean returns
Table 10.A. could be traders and/or investors trying to make-
SIGNIFICANCE OF THE QUARTER-OF-THE- up for their December trading (since December
YEAR EFFECT FOR 2002 had the lowest number of trading days in the
Steel-Dwass-Critchlow-Fligner Procedure; annual and cumulative analyses).
As per the annual analysis, with the
Obs. Sum of Mean of
Ranks Ranks
exception of 2002, there is no quarter-of-the-year
Return  1 60 8,670.000 144.500 effect in the market (Table 9A). The results of
Return  2 62 6,633.000 106.984 the summary statistics support the statistical test
Return  3 65 8,232.000 126.646 in that no quarter was dominant in generating the
Return  4 59 6,846.000 116.034 lowest or highest mean returns (Table 8A). The
significant result that occurred in 2002 may just
p-value be due to chance. As for the cumulative
analysis, the summary statistics (Table 8B)
6. CONCLUSION indicate that the lowest mean returns mostly
occur during quarter 2 while the highest mean
Although the annual analysis of the returns mostly occur on quarter 1 (although
existence of the day-of-the-week effect in the results of the Kruskal-Wallis Test reveal that the
PSEi indicate that only two of ten years (i.e. returns of one quarter are statistically the same as
2001 and 2006) are statistically significant the returns of any other quarter). The results of
(Tables 4A, 5A, and 5B), the summary statistics the quarter-of-the-year effect disagree with those
(Table 3A) indicate a frequency pattern of lower of Davidsson (2006) and the CXO Advisory
mean returns on Mondays and Tuesdays higher Group, LLC
mean returns during Thursdays. Based on the (http://www.cxoadvisory.com/4080/calendar-
cumulative analysis of the existence of the day- effects/end-of-quarter-effect/, June 14, 2012).
of-the-week effect, the summary statistics (Table Therefore, only the first research
3B) are consistent with the results of the hypothesis is supported by the results of this
Kruskal-Wallis Test (Tables 4B, 5C to 5K). study.
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[80]

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