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Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia

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  • Rayenda Brahmana

    ()

  • Chee-Wooi Hooy
  • Zamri Ahmad

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File URL: http://hdl.handle.net/10.1007/s10818-011-9107-z
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Bibliographic Info

Article provided by Springer in its journal Journal of Bioeconomics.

Volume (Year): 14 (2012)
Issue (Month): 2 (July)
Pages: 129-146

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Handle: RePEc:kap:jbioec:v:14:y:2012:i:2:p:129-146

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Web page: http://www.springerlink.com/link.asp?id=103315

Related research

Keywords: Irrational behavior; Day-of-the-week anomaly; Weather; Indonesia; D03; G14;

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References

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  1. Angel Pardo & Enric Valor, 2003. "Spanish Stock Returns: Where is the Weather Effect?," European Financial Management, European Financial Management Association, vol. 9(1), pages 117-126.
  2. William Goetzmann & Ning Zhu, 2002. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm296, Yale School of Management, revised 01 Sep 2009.
  3. repec:lje:journl:v:2:y:2006:i:2:p:123-139 is not listed on IDEAS
  4. Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006. "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 123-139, Jul-Dec.
  5. Jaffe, Jeffrey F. & Westerfield, Randolph & Ma, Christopher, 1989. "A twist on the Monday effect in stock prices: Evidence from the U.S. and foreign stock markets," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 641-650, September.
  6. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June.
  7. Kramer, Walter & Runde, Ralf, 1997. "Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?," Empirical Economics, Springer, vol. 22(4), pages 637-641.
  8. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
  9. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-45, December.
  10. Sharon Maccini & Dean Yang, 2009. "Under the Weather: Health, Schooling, and Economic Consequences of Early-Life Rainfall," American Economic Review, American Economic Association, vol. 99(3), pages 1006-26, June.
  11. Elroy Dimson & Massoud Mussavian, 1998. "A brief history of market efficiency," European Financial Management, European Financial Management Association, vol. 4(1), pages 91-103.
  12. Chang, Tsangyao & Nieh, Chien-Chung & Yang, Ming Jing & Yang, Tse-Yu, 2006. "Are stock market returns related to the weather effects? Empirical evidence from Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 343-354.
  13. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-60, September.
  14. Mahmood Yahyazadehfar & Esmaiel Abounoori & Hooman Shababi, 2006. "Days-of- Week Effect on Tehran Stock Exchange Returns: An Empirical Analysis," Iranian Economic Review, Economics faculty of Tehran university, vol. 11(2), pages 149-164, spring.
  15. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, 06.
  16. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
  17. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
  18. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  19. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
  20. Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance 0407017, EconWPA.
  21. Clare, Andrew D & Psaradakis, Zacharias & Thomas, Stephen H, 1995. "An Analysis of Seasonality in the U.K. Equity Market," Economic Journal, Royal Economic Society, vol. 105(429), pages 398-409, March.
  22. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  23. Tong, Wilson, 2000. "International Evidence on Weekend Anomalies," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 23(4), pages 495-522, Winter.
  24. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
  25. Ritter, Jay R., 2003. "Behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 429-437, September.
  26. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
  27. Hakan Berument & Halil Kiymaz, 2001. "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer, vol. 25(2), pages 181-193, June.
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