Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2007): Day-of-the-week effects in selected East Asian stock markets.
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This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday and positive Friday effects are detected in the stock markets Taiwan, Singapore and Hong Kong. Further analysis shows that only Friday effect in Taiwan is sustainable while all other effects disappeared completely after accounting for equity risks. Besides, this study also finds evidences of risk and return tradeoff as well as asymmetrical market effects.
|Item Type:||MPRA Paper|
|Original Title:||Day-of-the-week effects in selected East Asian stock markets|
|Keywords:||calender anomalies; day-of-the-week effects; East Asian; EGARCH-M Model|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||22. Feb 2008 06:39|
|Last Modified:||12. Feb 2013 08:40|
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