This paper attempts to investigate various calendar anomalies like Day of the week effect, Turn of the month effect, Holiday effect and January effect in the seven East Asian stock markets (China, Japan, India, Hong Kong, Taiwan, Mongolia and Korea) by using index returns and time varying econometric modelling methods. This study further investigates the presence of volatility clustering, symmetric information and leverage effect in these markets. The research paper has applied GARCH-M (1, 1), GJR-GARCH-M (1, 1) and E-GARCH-M (1, 1) models to investigate the aforesaid objectives. The study did not observe sign of Day of the week effect, and January effect but noticed the strong evidence of positive returns during the first four and last two trading days of the month in Indian, Taiwanese and Mongolian Stock Market. It is further observed that the Mongolian stock market shows significant negative returns during the month of August. The presence of Turn of the month for six days does not confirm that which day would give the excess returns in the stock market so, it would be highly difficult to generate excessive returns in these markets. This research also searched out that volatility in clustering, returns are highly volatile, and negative shocks transmits more volatility in the market than the positive shocks. The study also finds the strong evidence for the presence of “leverage effect” in all markets considered for the study. It may be inferred from the study that the absence of calendar anomalies indicates operational efficiency of East Asian Stock Market.