Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies.  Background: A number of previous studies have found evidence of seasonal anomalies in global stock markets, and by challenging the core assumptions of market efficiency, such anomalies may make it possible to predict the movement of stock prices at certain periods during the year. Consequently, there may be substantial profit-making opportunities that clever investors can benefit from, raising two important questions: (1) can such anomalies be strategically used to outperform the market and (2) why do such cyclical return patterns exist? Method: Daily closing prices from the Singapore Straits Times Index (STI) are used to compute average daily and monthly returns, which are further analysed through the use of statistical significance analysis and hypothesis testing to identify the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market.  The results of the statistical investigation are used to develop investment strategies that are designed to take advantage of both positive and negative effects, and the theories of behavioural finance are applied to help explain why seasonalities occur at certain points in time. Conclusions: This study finds evidence of several seasonal anomalies in the Singapore stock market. Both day-of-the-week effects and month-of-the-year effects are present in the STI over the full sample period. Many of these effects can be explained by behavioural finance, and used to develop investment strategies that outperform the market.

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets.