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Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach

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Author Info
Lean, Hooi Hooi
Smyth, Russell
Wong, Wing-Keung

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File URL: http://www.sciencedirect.com/science/article/B6VGV-4K7WJ7K-1/2/a28ac2f1daf60d73ac1436bdb4b57688
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 17 (2007)
Issue (Month): 2 (April)
Pages: 125-141
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Handle: RePEc:eee:mulfin:v:17:y:2007:i:2:p:125-141

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Web page: http://www.elsevier.com/locate/mulfin

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February. [Downloadable!] (restricted)
  2. Davidson, Sinclair & Faff, Robert, 1999. "Some Additional Australian Evidence on the Day-of-the-Week Effect," Applied Economics Letters, Taylor and Francis Journals, vol. 6(4), pages 247-49, April. [Downloadable!] (restricted)
  3. Y.K. Tse & Xibin Zhang, 2003. "A Monte Carlo Investigation of Some Tests for Stochastic Dominance," Monash Econometrics and Business Statistics Working Papers 7/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. Russell Davidson & Jean-Yves Duclos, 2000. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Econometrica, Econometric Society, vol. 68(6), pages 1435-1464, November.
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  5. Anderson, Gordon, 2004. "Toward an empirical analysis of polarization," Journal of Econometrics, Elsevier, vol. 122(1), pages 1-26, September. [Downloadable!] (restricted)
  6. Tong, Wilson, 2000. "International Evidence on Weekend Anomalies," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 23(4), pages 495-522, Winter.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Bety Agnany & Henry Aray, 2007. "The January Effect across Volatility Regimes," ThE Papers 07/04, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
  2. Vinod Mishra & Russell Smyth, 2008. "An Examination Of The Impact Of India'S Performance In One-Day Cricket Internationals On The Indian Stock Market," Monash Economics Working Papers 09/08, Monash University, Department of Economics. [Downloadable!]
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