Saturday, January 17, 2015

STI Seasonality Study

Hi everybody, I would like to share some research that I've done which is regarding the seasonality of the STI.

The data that I am using comes from the same series that my monthly STI Statistics are based on. This means that it also has the same shortcomings as well:
  • Data series starts from 2008, which is the launch of the revamped STI (Bloomberg)
  • Data from Apr 2014 onwards is manually recorded from SGX
This means that there are only 7 full years, which makes my data for a seasonality chart sadly less robust that what I would like. However, using the data before the STI revamp in 2008 would also not make it a good comparison anymore.

With a small database, this is the best that I can come up with.

Interesting points to note:
  • March - July is strangely bullish, with June an oddity
  • August - Feb is strangely bearish, with December an oddity
  • July is the strongest month, with a 86% positive closings and the highest returns
  • August is undoubtedly the weakest month with 0% positive closings and the worst returns
Of course this is just a seasonality chart and it is far from being conclusive, especially with the lack of data. However, the lack of data cannot be helped and only as time passes by and more data points are available, can we take these data more seriously.

I wonder if over time the seasonality chart would be able to identify any unique seasonal trends regarding the STI. It would definitely be interesting to know!

I doubt anyone would use this data to seriously make investment decisions. Even when I use seasonality charts, it is with a mouthful of salt.

Anyway, this is just something that I've always wanted to find out for myself, and since I had the data, I churned it out. Useful? Only time will tell!

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