August: Negative month for FBMKLCI?

Market anomalies in FBMKLCI

The probability of achieving positive monthly movement in August is relatively lower than the rest of the months in a year for FBMKLCI

Compiling FBMKLCI index data from year 2004 till 2015 and sorting them into monthly movement. The following table illustrates:

  1. Only 25% probability of achieving m-o-m positive movement in the month of August, lower than annual average of 63.9%;
  2. Month of August has the highest average m-o-m negative movement of 2.0%;
  3. Both month of October and December have the highest probability (at 83.3%) of achieving of positive m-o-m movement  

FBMKLCI_Aug Month

Possible reasons for such anomalies for FBMKLCI:

  1. Most of Q2 corporate earnings would have been announced by August, thereby presenting a clearer basis for revising consensus for the remaining months of the financial year
  2. Presentation of Malaysian budget in Oct as well as  year end window-dressing will yield positive movement for FBMKLCI in October and December respectively
  3. Perhaps, investors’ behaviour (?) – see New Zealand case study as per http://www98.griffith.edu.au/dspace/bitstream/handle/10072/35737/66356_1.pdf?sequence=1

Key Implications:

  1. Long term portfolio strategy will normalise anomalies
  2. Short term trading opportunities may exist by going long / short in certain months
  3. To consider analysing data in other indices whether such anomalies exist
Disclaimer: This site is for information and illustrative purposes only and does not purport to show actual results. It is not, and should not be regarded as investment advice or as a recommendation regarding any particular security or course of action.  Sources used in this site have not been independently verified for accuracy. You should seek independent and professional investment advice in regard to your investment decisions.

 

Author: Ken Utau

Markets Observer + Food Lover

1 thought on “August: Negative month for FBMKLCI?”

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