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

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Author Info
Ricky Chee-Jiun Chia () (Labuan School of International Business and Finance, Universiti Malaysia Sabah)
Venus Khim-Sen Liew () (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)

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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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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume7/EB-08G00001A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2008)
Issue (Month): 5 ()
Pages: 1-8
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2008:i:5:p:1-8

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Related research
Keywords: day-of-the-week effects East Asian EGARCH mean asymmetrical market behaviour equity risk

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G0 - Financial Economics - - General

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  1. Wong, Kie Ann & Hui, Tak Kee & Chan, Choy Yin, 1992. "Day-of-the-Week Effects: Evidence from Developing Stock Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 2(1), pages 49-56, March. [Downloadable!] (restricted)
  2. Choudhry, Taufiq, 2000. "Day of the Week Effect in Emerging Asian Stock Markets: Evidence from the GARCH Model," Applied Financial Economics, Taylor and Francis Journals, vol. 10(3), pages 235-42, June. [Downloadable!] (restricted)
  3. Brooks, Chris & Persand, Gita, 2001. "Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects," Applied Economics Letters, Taylor and Francis Journals, vol. 8(3), pages 155-58, March. [Downloadable!] (restricted)
  4. Syed A. Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor and Francis Journals, vol. 13(10), pages 621-628, August. [Downloadable!] (restricted)
    Other versions:
  5. 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 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  6. Alexakis, Panayotis & Xanthakis, Manolis, 1995. "Day of the Week Effect on the Greek Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 5(1), pages 43-50, February. [Downloadable!] (restricted)
  7. Lucey, Brian M, 2000. "Anomalous Daily Seasonality in Ireland?," Applied Economics Letters, Taylor and Francis Journals, vol. 7(10), pages 637-40, October. [Downloadable!] (restricted)
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