Calendar-based seasonalities in stock markets have attracted considerable interest among academics as well as practitioners and have been the subject of much empirical research. These seasonalities, or anomalies, refer to the proposition that stock returns exhibit regular and predictable changes that tend to recur over long periods of time. This thesis examines the effects of two calendar seasonalities, namely the holiday effect and the January effect, over a 22-year period in the stock markets of Hong Kong, Indonesia, Malaysia, Singapore and Taiwan. It provides strong evidence that only those holidays associated with heavy consumer spending affect return patterns. By exploiting the fact that the timing of many festivals in Asia varies relative to the Gregorian calendar, the thesis is also able to separate year-end effects from holiday effects. It is also found that the effects are stronger in smaller firms. This thesis is the first to test simultaneously for calendar effects in five Asian markets using daily stock prices collected from one data source. Furthermore, it is the first to test calendar effects at the firm level (rather than at the market index level) in four of the five countries.