International Research Journal of Finance and Economics

ISSN 1450-2887 Issue 24 (2009)

© EuroJournals Publishing, Inc. 2009
http://www.eurojournals.com/finance.htm

Seasonalities in the Monthly Stock Returns: Evidence from

Bangladesh Dhaka Stock Exchange (DSE)

Khokan Bepari
Faculty of Agricultural Economics & Rural Sociology
Bangladesh Agricultural University
Mymensingh -2202, Bangladesh
E-mail: khokan552@yahoo.com

Abu Taher Mollik

School of Commerce and Marketing
CQ University, Rockhampton, QLD 4702, Australia
E-mail: a.mollik@cqu.edu.au, abumollik@yahoo.com.au
Tel: +61 7 4930 9441(w), Fax: +61 7 4930 9700

Abstract

The presence of the seasonal or monthly effect in stock returns has been reported in
several developed and emerging stock markets. This study investigates the existence of
seasonality in return series of Dhaka Stock Exchange (DSE) of Bangladesh. The study uses
the monthly return data of the DSE all share price index (DSE All Index) for the period
from 1993 to 2006 for the analysis. After examining the stationarity of the return series, we
specify a “combined regression-time series model” with dummy variable for months to find
the monthly effect in stock returns in DSE. The results confirm the existence of seasonality
in stock returns in DSE but do not support the “tax-loss-selling” hypothesis. Instead of
“July effect” (January effect), we find an “April effect” in DSE. The results of the study
invalidate the paradigm of the efficient market hypothesis in DSE meaning that, investors
can time their share investments to improve returns.

Keywords: Seasonality, Monthly Stock Returns, Stationarity of Returns

JEL Classification Codes: G11, G12, G14

Introduction
The topic of capital market efficiency is one of the most searched areas in finance. Following Fama
(1965), number of studies was conducted to test the efficient market hypothesis (EMH). Recently,
however, researchers have collected evidence against the EMH. One of the significant anomalies of
EMH is the seasonal effect. Testing for a seasonal effect in monthly returns has been given
considerable attention in the literature.The existence of the seasonal effect negates the weak form of
the EMH and implies market inefficiency. If the seasonal effects are prominent and systematic in the
stock markets, then investors can have useful clues regarding their investment decisions and
speculators and portfolio managers can engage in playing games in derivative markets such as futures,
options, and mutual funds portfolio rebalancing. The different patterns identified in stock returns
include the day of the week effect, the day of the month effect, the end of the year effect, etc. French
International Research Journal of Finance and Economics - Issue 24 (2009) 168

(1980), Gibbons and Hess (1981), Keim (1983), Gultekin and Gultekin (1983), Harris (1986), Ariel
(1987), Broca (1992), etc., report these seasonal patterns.
Several studies have investigated the seasonal behavior of monthly stock market returns of a
number of countries. But most of the studies were conducted on developed countries. The “January
effect” and the “tax-loss –selling” hypotheses are two important hypothesis tested in the literature.
Increasing attention is being accorded by the capital market analysts, portfolio managers, finance
professionals and researchers to the emerging capital markets (ECMs). No such study has, thus far,
been conducted on the DSE return series of Bangladesh. The tax system in Bangladesh differs from
that of the USA and many other developed and developing countries in that the tax year ends in June in
Bangladesh and not in December like in the USA. Thus the “January effect” of most of the stock
markets may take “July effect” in DSE. The taxpayers have to pay capital gain tax on the sale of
shares. The capital losses can be set off against the capital gains. The ‘tax-loss-selling’ hypothesis may
provide an explanation, different from others, for the seasonality in stock returns in Bangladesh.
Information hypothesis (Kiem, 1983) may provide yet another explanation for the seasonality in stock
return.
The objective of this study is to investigate the existence of seasonality in stock returns in
Dhaka Stock Exchange (DSE).We use monthly closing share price data of the DSE all share price
index (DSE All) from 1993 to 2006 for this purpose. We use a combined regression –time series model
(Pindyck and Rubinfeld, 1998) with dummy variables for months to test the existence of seasonality in
stock returns. The results of the study confirmed the monthly effect in stock returns in DSE, but runs
counter to the ‘tax-loss selling’ hypothesis. Instead, we find an “April effect”. These findings have
important implications for financial managers, financial analysts and investors for devising investment
strategies in DSE.

Prior research on seasonality in stock returns

Seasonality in stock returns means the average returns are not same in all periods. The month-of-the-
year effect would be present when returns in some months are higher than other months. In the USA
and some other countries, the year-end month (December) is the tax month. It is argued that investors
sell shares the values of which have declined in order to reduce their taxes. This put a downward
pressure on the stock prices and thus lowers stock returns. As soon as the tax year ends, investors start
buying shares and stock prices experience upward trend. This causes higher returns in the beginning of
the year, that is, in the month of January. A number of empirical studies have found the ‘year-end’
effect and the ‘January effect’ in stock returns consistent with the ‘tax-loss selling’ hypothesis.
Wachtel (1942) first pointed out the seasonal effect in the US markets. Rozeff and Kinney (1976)
found that stock returns in January were statistically larger than in other months. Keim (1983)
examined the seasonal and size effects in stock returns and found that small firm returns were
significantly higher than large firm returns during the month of January. Reinganum (1983), however,
found that the tax-loss-selling hypothesis could not explain the entire seasonality effect. Smirlock and
Starks (1986) found evidence of the day-of the- week effect and Ariel (1987) found intra-month effects
in the US stock returns.
Studying data of 17 industrial countries with different tax laws, Gultekin and Gultekin (1983)
confirmed the January effect. The existence of seasonal effect has been found in the UK (Lewis, 1989),
Australia (Officer, 1975; Brown, Keim, Kleidon and Marsh, 1983), Canada (Berges, McConnell, and
Schlarbaum, 1984; Tinic, Barone-Adesi and West, 1990) and Japan (Aggarwal, Rao and Hiraki, 1990).
Boudreaux (1995) found the presence of the month-end effect in markets in Denmark, Germany and
Norway. Raj and Thurston (1994) investigated the January and April effects in the NZ stock market
but found no significant effect. Chan (1986) found that the source of January seasonal in stock returns
is long-term loss. Brown and Luo (2004)studying data from NYSE equal weighted stock index for the
period of 1941 to 2002 introduces a new type of January effect, namely the signs of January returns
have superior predictive value vis-a-vis the signs of any other calendar month's returns for the purpose
169 International Research Journal of Finance and Economics - Issue 24 (2009)

of predicting the next 12-months' returns. A summary of earlier empirical work in this area can be
found in Kendall (1953).
While empirical evidences in this line are abounding on developed countries, research in
emerging capital market has only recently surfaced. Maghyereh (2003) using the standard GARCH,
exponential GARCH (EGARCH) and the GJR models for Amman Stock Exchange (ASE) of Jordan
found no evidence of monthly seasonality as well as January effect in the ASE returns. Pandey (2002)
and Lazar et al.(2005) using data from Bombay Stock Exchange’s Sensitivity Index document the
monthly effect in the stock returns in India. Their results confirm the existence of seasonality in stock
returns in India consistent with the ‘tax-loss selling’ hypothesis. Alagidede and Panagiotidis (2006)
examined both the day of the week and month of the year in the stock returns in Ghana employing
rolling techniques to asses the affects of policy and institutional changes thereby allowing deviations
from the linear paradigm. Contrary to a January return pattern in most markets, they find an April
effect for Ghana’s stock market. Al- Saad and Moosa (2005) applying structural time series model
incorporating stochastic dummies find that seasonality is present in the monthly stock returns derived
from a general index of the Kuwait Stock Exchange but it is deterministic as implied by the constancy
of the monthly seasonal factors over the sample period. Moreover, they find seasonality to take the
form of a July effect, as opposed to the better-recognized January effect. Doran et al.(2008.) find using
data form Chinese stock markets find that Chinese stock markets as a whole and highly volatile
Chinese stocks in particular outperform at the turn of the Chinese New Year, but not in January.
Although evidence contrary to the weak form of efficiency in the DSE has been documented in prior
studies (see, for instance, Rahman & Hossain, 2006; and Mobarek, & Keasey, 2000.), there is no
empirical evidence regarding the seasonality in the DSE, the premier capital market of Bangladesh.
The present study fills the gap.

Methodology
The seasonal effect is easily detectable in the market indices or large portfolios of shares rather than in
individual shares (Boudreaux, 1995). This study analyses monthly returns of the DSE All Index from
1993 to 2006. We measure stock return as the continuously compounded monthly percentage change in
the share price index as shown below:
rt = (ln Pt -ln Pt-1) ҳ 100 (1)
We first determine whether the DSE return series is stationary. One simple way of determining
whether a series is stationary is to examine the sample autocorrelation function (ACF) and the partial
autocorrelation function (PACF). We also use a formal test of stationarity, that is, the Augmented
Dickey-Fuller (ADF) test.
We use a month-of-the-year dummy variable for testing monthly seasonality. The dummy
variable takes a value of unity for a given month and a value of zero for all other months. We specify
an intercept term along with dummy variables for all months except one. The month of June, the
omitted month, is our benchmark month because tax year in Bangladesh ends in June. Thus, the
coefficient of each dummy variable measures the incremental effect of that month relative to the
benchmark month of June. The existence of seasonal effect will be confirmed when the coefficient of
at least one dummy variable is statistically significant (Pandey, 2002). Our initial model to test the
monthly seasonality is as follows:
y t = α1 + α2Jan + α3Feb + α4Mar+ α5Apr+ α6May + α7Jul+ α8Aug+ α9Sep+ α10Oct+ α11Nov
+ α12Dec + ε t (2)
The intercept term α1 indicates mean return for the month of June and coefficients α 2 …α 12
represent the average differences in return between June and each other month. These coefficients
should be equal to zero if the return for each month is the same and if there is no seasonal effect. εt is
the white noise error term. This approach, however, may be flawed because the residuals may have
serial correlation.
International Research Journal of Finance and Economics - Issue 24 (2009) 170

To deal with this problem we improve upon Equation (2) by constructing an ARIMA model for
the residual series µt. We then substitute the ARIMA model for the implicit error term in Equation (2)
to form a combined regression –time series model (Pindyck and Rubinfeld, 1998). The transfer
function model (Pandey, 2002 & Lazar et al, 2005 use similar model) is as follows:
y t = α1 + α2Jan + α3Feb + α4Mar+ α5Apr+ α6May + α7Jul+ α8Aug+ α9Sep+ α10Oct+ α11Nov
+ α12Dec + φ (B) θ (B)ηt
−1
(3)
where ηt is a normally distributed error term and it may have different variance from εt. We also check
for the ARCH effect in residuals.

Results and discussion

Descriptive statistics
Table 1 presents the descriptive statistics for the entire period and each month. Returns for the months
of February, April, September and December are negative and the rest of the months have positive
mean returns. The maximum average return occurs in the month of May and minimum average returns
result in the month of April. Returns show negative skewness for five months and positive skewness
for seven months. Five months have kurtosis >3, meaning leptokurtic distribution. That means flatter
tails than the normal distribution. The Jarque-Bera test indicates that returns are normally distributed
for six months. The average monthly return (0.881 percent) for the entire period from 1993 to 2006 is
positive. The return series for the entire period show high dispersion, and it is leptokurtic and skewness
is positive. The Jarque-Bera statistics implies that returns are not normally distributed.

Table 1: Descriptive statistics of the DSE all share share price index monthly return (1994-2007)

Month Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque Bera Prob Obs
Jan 0.029 -0.61 34.228 -19.915 12.77 1.858 6.36 11.52 0.00 11
Feb -1.804 0.005 2.171 -9.793 3.52 -1.215 1.35 3.94 0.13 11
Mar -0.456 0.024 12.991 -32.564 31.66 0.002 5.308 3.11 0.15 14
Apr -5.835 -2.55 3.411 -24.07 8.76 -1.154 0.488 6.79 0.03 14
May 4.289 3.318 21.830 -8.302 8.05 0.578 0.491 4.45 0.10 14
Jun 3.943 4.12 10.914 -7.448 5.04 -0.623 0.453 4.68 0.10 14
Jul 1.003 0.288 17.795 -12.105 8.36 0.262 0.129 4.97 0.08 14
Aug 0.049 0.358 15.682 -15.712 8.00 -0.417 1.07 2.58 0.30 14
Sep -1.888 1.607 30.181 -5.985 8.81 2.332 6.306 19.06 0.00 14
Oct 5.34 1.656 56.997 -13.041 16.22 2.687 9.016 37.96 0.00 14
Nov 0.644 -0.63 24.173 -11.541 8.84 1.469 3.116 5.05 0.07 14
Dec -1.272 0.043 5.112 -26.995 7.98 -2.89 9.523 44.31 0.00 14
1993- 0.881 0.053 56.997 -32.564 9.86 1.231 8.298 230.39 0.00 162
2006

Time series properties of DSE return series

Figure 1, shows variations in monthly returns. Besides, figure 2 shows the ACF and the PACF of the
series. Figure 2 implies that the autocorrelation function falls off quickly as the number of lags
increase. This is a typical behavior of a stationary series. The PACF also does not indicate any large
spikes. In Table 2 we present result of the ADF tests. All the test scores are below the critical value at 5
percent level. Thus, the ADF tests also prove that the DSE return series is stationary.
171 International Research Journal of Finance and Economics - Issue 24 (2009)
Figure 1: Monthly return series of DSE Gen index; (1993 -2006)

Monthly return s eries 1993-2006

0

0
1 19 37 55 73 91 109 127 145 163
10 28 46 64 82 100 118 136 154

Months

Figure 2: Auto correlation & partial autocorrelation function of the DSE Gen index monthly return series

Auto correlation and partial autocorrelation function

0.2
Autocorrelationandpartial

autocorrelationcoefficient

0.1

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
-0.1

-0.2

-0.3
La gs

Autocorrelation Partial autocorrelation

Table 2: Augmented Dickey –Fuller (ADF) Test:

ADF with constant ADF without constant

-8.206 -8.192
1 lag Prob. .000 1 lag Prob. .000
(-2.884) (-3.446)
-6.000 -5.979
5 lags Prob. .000 5 lags Prob. .000
(-2.884) (-3.446)
-3.690 -3.700
10 lags Prob. .000 10 lags Prob. .000
(-2.885) (-3.447)
Figures in the parentheses shows critical t-statistics for ADF stationarity testing. A value greater than the critical t-value indicates non-stationarity.

Test of seasonality of DSE return series

To document the monthly effect on the DSE return series we run Equation (2), which includes the
month-of-the-year dummy variables as the independent variables. The results are presented in Table 3.
Only the month of April has statistically significant coefficient. Low level of R2 (0.091) and the
insignificant F-statistic suggest poor model fit. Durbin- Watson statistic of less than 2 indicates serial
correlation in the residuals. The Ljung-Box Q-statistic to order of 36 is 48.364 and significant at 0.082.
Thus, the residuals of the model are not white noise.
International Research Journal of Finance and Economics - Issue 24 (2009) 172
Table 3: The Regression Model to Test Seasonality (DSE all share price index 1994 to 2007)

Variable Coefficient Std. Error t-Statistic Prob.

Constant 2.905 2.511 1.157 0.249
January -1.908 3.560 -0.536 0.593
February -5.027 3.676 -1.368 0.173
March -3.361 3.605 -0.932 0.353
April -8.740 3.605 -2.424 0.016
May 1.384 3.605 0.384 0.702
July -1.902 3.605 -0.528 0.599
August -2.856 3.605 -0.792 0.429
September -0.983 3.605 0.273 0.785
October 2.435 3.605 0.675 0.500
November -2.261 3.605 -0.627 0.531
December -3.139 3.605 -0.913 0.363
R2 0.091 F -statistic 1.393
D-W stat. 1.644 Probability 0.181

We next examine the residuals obtained from the estimation of Equation (2). After
experimenting, we fit the ARIMA (5, 0, 5) model to the residual series. The results of the model are
given in Table 4. Actual and fitted residual series of Equation (2) are shown in figure 3. The Ljung-
Box Q-statistic to order of 36 is 27.302 & is insignificant with ρ- value of 0.851. Thus, we can
conclude that the residuals of the ARIMA (5,0,5) model are white noise.

Table 4: ARIMA (5, 0, 5) Model for the Residuals of Equation (2)

Variable Coefficient Std. Error t-Statistic Prob.

Constant 0.030 0.918 0.033 .974
AR(1) -0.680 0.394 -1.722 .087
AR(2) -0.826 0.334 -2.476 .014
AR(3) -0.614 0.283 -2.169 .032
AR(4) -0.154 0.271 -.567 .573
AR(5) -0.391 0.228 -1.715 .088
MA(1) -0.902 0.488 -1.849 .066
MA(2) -0.992 0.310 -2.481 .014
MA(3) -1.010 0.455 -2.220 .028
MA(4) -0.460 0.339 -1.355 .177
MA(5) -0.533 0.266 -2.007 .046
R2 0.316 F -statistic 3.912
D-W stat. 1.86 Probability 0.000
173 International Research Journal of Finance and Economics - Issue 24 (2009)
Figure 3: Actual and fitted residual series of Equation (2), fitted through ARIMA (5,0,5)

Actual and fitted through ARIMA (5,0,5)

60
50
40
30
20
Actual
10
Fitted
0
-10
-20
-30
-40

We next combine the ARIMA (5, 0, 5) model for the residual series of Equation (2) with the
regression model ((Equation (2)) to form a combined regression- time series model and estimate all
parameters simultaneously as given in Equation (3). The results of the estimation of Equation (3) are
given in Table 5. The R2 is.371 and the D-W statistic of 1.91 is very close to 2. The sample
autocorrelations for the residuals of the model (Equation (3)) are almost zero. Further, the Ljung- Box
Q-statistic is mostly insignificant. Thus, the residuals of the model are white noise. The residuals do
not show conditional autoregressive heteroskedasticity. A Lagrange Multiplier (LM) test for the
presence of the ARCH effects in the residuals (F-statistic of 0.573 and ρ-value of 0.718) reveals no
such effects.

Table 5: The combined regression-time series model (Transfer function model)

Variable Coefficient Std. Error t-Statistic Prob.

Constant 2.105 1.511 1.467 .624
January -2.017 3.257 -0.762 .421
February -4.026 2.958 -1.927 .267
March -4.231 3.503 -0.681 . 371
April -6.820 3.269 -2.697 .011*
May 2.164 2.918 0.637 .780
July -1.902 2.882 -0.921 .601
August -3.360 3.175 -1.723 .021*
September -1.023 3.312 1.264 .061**
October 1.529 3.735 0.239 .700
November -2.247 2.817. -0.317 .613
December -2.236 3.601 -0.986 .461
AR(1) 0.038 0.494 -1.325 .072
AR(2) -0.979 0.534 -1.672 .021
AR(3) -0.226 0.183 -1.158 .022
AR(4) -1.617 0.171 -0.462 .793
AR(5) -0.753 0.223 -1.218 .072
MA(1) -0.393 0.388 -1.207 .039
MA(2) -0.713 0.350 -3.601 .097
MA(3) -0.247 0.357 -1.311 .061
MA(4) -1.601 0.167 -1.360 .344
MA(5) -0.730 0.268 -2.407 .036
R2 0.371 F -statistic 2.731
D-W stat. 1.91 Probability 012
*Indicates significant at 5% significance level; **Indicate significant at 10% significant level.
International Research Journal of Finance and Economics - Issue 24 (2009) 174

We note from Table 5 that the coefficients of the dummy variables for the months of April,
August and September are statistically significant. The coefficient for the benchmark month of June is
2.105. Except for the month of May, coefficients are lower for all months as compared to the
benchmark month of June.
The coefficients for the intercept term i.e. for the month of June not statistically significant may
be interpreted to reject the “tax-loss-selling” hypothesis because tax year in Bangladesh ends in June.
Further evidence is found to reject the “July effect” (the so called “January effect” in countries where
tax year ends in December) as the coefficient for the month of July is not statistically significant.
However we find “April effect” in the DSE return series. The coefficient for the month of April is
negative and statistically significant at 5% significance level. One explanation for this may be that as
by the month of April most of the companies declare dividend and hold AGM, investors start selling
shares post- dividend and the share prices dip causing downward pressure in the index and returns.
The coefficients of dummy variables for the months of November and December are not
statistically significant mean that there is no year end effect in DSE return series. The coefficients of
dummy variable for the month of August and September are statistically significant. This could result
from several social, economic and political factors (such as flood that usually comes during August and
September) that may cause changes in the macroeconomic fundamentals (floods may slow down
economic activities and industrial production) affecting the stock market activities

Conclusions
This study investigates the nature of seasonality in the monthly stock returns of DSE All share price
index (DSE All). Descriptive statistics point to large dispersions in the monthly returns. Using a
combined regression-time series model incorporating dummy.variables for months, the analysis reveals
that seasonality is present in DSE All Index monthly return series. Contrary to the “Tax- loss –selling
“and “January effect” hypothesis reported in developed countries, the study finds an “April effect” in
the DSE All return series. The study further documents a statistically significant coefficient for the
month of August and September and it may be attributed to “information hypothesis”. The findings of
the study indicate that stock returns in DSE are not entirely random. As a consequence, investors may
have opportunities to improve their returns by timing their investments. However, further research is
needed involving other stock indices of DSE such as DSE General index and DSE 20 index before
making any firm conclusion in this regard.
175 International Research Journal of Finance and Economics - Issue 24 (2009)

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