Testing monthly effect in stock market: A case study of asian stock market

These study conducts with the monthly effect exist in Asian stock market. For this purpose fourteen country indices have been used. Monthly effect implies that in some specific months of the year, the average stock return is significantly higher (lower) than that in the rest of the year. Such phenomenon gives rise to gainful investment opportunities. The result of study shows that majority of countries volatility between months of the year returns are same on the basis of Leven test. It is observed that after applying Kruskal-Wallis test mean return differences of all companies are same. It indicates that seasonal effect does not exist in Asian market. So, no specific month is bullish or bearish.