Day of the week effect in emerging Asian stock markets: evidence from the GARCH model
AbstractThis paper investigates the day of the week effect on seven emerging Asian stock markets returns and conditional variance (volatility). The empirical research was conducted using the GARCH model and daily returns from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand from January 1990 to June 1995. Results obtained indicate the significant presence of the day of the week effect on both stock returns and volatility, though the result involving both the return and volatility are not identical in all seven cases. Results also show that these effects may be due to a possible spill-over from the Japanese stock market.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 10 (2000)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Syed Azizi Wafa Syed Khalid Wafa, 2008.
"Day-of-the-week effects in Selected East Asian stock markets,"
AccessEcon, vol. 7(5), pages 1-8.
- Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007. "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper 7299, University Library of Munich, Germany.
- Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
- Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
- Guidi Francesco, 2011.
"Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets,"
Journal of Emerging Market Finance,
Institute for Financial Management and Research, vol. 10(3), pages 337-389, December.
- Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2010. "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," MPRA Paper 21984, University Library of Munich, Germany.
- Auer, Benjamin R. & Rottmann, Horst, 2013.
"Is there a Friday the 13th effect in ermerging Asian stock markets?,"
OTH im Dialog: Weidener Diskussionspapiere
35, University of Applied Sciences Amberg-Weiden (OTH).
- Benjamin R. Auer & Horst Rottmann, 2013. "Is there a Friday the 13th Effect in Emerging Asian Stock Markets?," CESifo Working Paper Series 4409, CESifo Group Munich.
- repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS
- Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
- P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
- Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008. "The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
- Bing Zhang & Xindan Li, 2006. "Do Calendar Effects Still Exist in the Chinese Stock Markets?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 151-163.
- 1Shieldvie Halim Author_Email: & Aldrin Herwany, & Rayenda Brahmana, 2011. "The Seasonality Of Market Integration: Case Of Indonesian Stock Markets," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-439, Conference Master Resources.
- Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
- Julijana Angelovska, 2013. "An Econometric Analysis of Market Anomaly - Day of the Week Effect on a Small Emerging Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 314-322, January.
- Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA.
- Batuo Enowbi, Michael & Guidi, Francesco & Mlambo, Kupukile, 2009.
"Testing the weak-form market efficiency and the day of the week effects of some African countries,"
19116, University Library of Munich, Germany.
- Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
- Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.