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Day-of-the-week effects in Selected East Asian stock markets

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Author Info

  • Venus Khim-Sen Liew

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Ricky Chee-Jiun Chia

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Syed Azizi Wafa Syed Khalid Wafa

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

Abstract

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.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2008)
Issue (Month): 5 ()
Pages: 1-8

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Handle: RePEc:ebl:ecbull:eb-08g00001

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Keywords: EGARCH mean;

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  1. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(10), pages 637-640.
  2. Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 155-158.
  3. Syed Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(10), pages 621-628.
  4. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis 157, Federal Reserve Bank of Minneapolis.
  5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
  6. Ercan Balaban & Asli Bayar & Ozgur Berk Kan, 2001. "Stock returns, seasonality and asymmetric conditional volatility in world equity markets," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(4), pages 263-268.
  7. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 157-168, Fall.
  8. Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 235-242.
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Cited by:
  1. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
  2. Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Stock Market Anomalies in South Africa and its Neighbouring Countries," Economics Bulletin, AccessEcon, vol. 31(4), pages 3123-3137.

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