This study examines the presence of the “month of the year effect” in the six emerging Asian stock markets (India, Indonesia, Japan, Malaysia, Philippines, and South Korea) for the period January, 1991 to November, 2020 using GARCH (1, 1), EGARCH (1, 1) and TGARCH (1, 1) models. The empirical results indicate the existence of “month of the year effects” on stock returns and volatility of all the emerging Asian stock markets except Japan. The study reveals a positive and significant January effect for each country except Japan. February, April and July effects are positive and significant only in the case of Indonesia, South Korea and Malaysia respectively. The findings confirm the persistence of ARCH and GARCH effects in the monthly return series. Moreover, the asymmetric GARCH models show that the emerging Asian stock market returns exhibit asymmetric (leverage) effect. The seasonal or monthly effect in stock markets in Emerging Asian countries poses an important research question as Emerging Asia’s economic footprint has been growing significantly. The findings of the study have important implications for active and profitable trading strategies.

本研究使用 GARCH（1 , 1)、EGARCH (1, 1) 和 TGARCH (1, 1) 模型。实证结果表明，除日本外，所有亚洲新兴股市的股票收益和波动性都存在“年月效应”。该研究揭示了除日本以外的每个国家的积极且显着的 1 月份效应。2 月、4 月和 7 月的影响分别仅在印度尼西亚、韩国和马来西亚是积极且显着的。研究结果证实了 ARCH 和 GARCH 效应在月收益序列中的持续存在。而且，不对称 GARCH 模型表明，新兴的亚洲股市回报表现出不对称（杠杆）效应。新兴亚洲国家股票市场的季节性或月度影响提出了一个重要的研究问题，因为新兴亚洲的经济足迹一直在显着增长。该研究的结果对积极和有利可图的交易策略具有重要意义。