Anatomy Of Behavioural Risk Seasonality In Equity

This research offers insight on calendar seasonality from behavioural perspectives with evidence from the Malaysian equity market. First, the behavioural perspectives on human behaviour and behavioural risk seasonality are discussed. Then, empirical tests on the calendar seasonality of behavioural risks with control of fundamental variables are examined on 238 Malaysian firm individual stock returns using the panel regression method. The analyses are performed on calendar months and half-yearly sub-samples to examine the behavioural risk seasonality. The finding supports the presence of behavioural risk seasonality in Malaysia and provides valuable theoretical and practical insights. The results provide useful insights for both theory and practice. For theory, the human behaviour cycle partly provides a behavioural justification on the calendar seasonality behaviour of equity market throughout the year. For investment practices, this research highlights the behavioural calendar-based investing strategy that is valuable to measure and manages behavioural risk seasonality impacts on equity portfolio.