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Using stochastic dominance criterion to examine the day-of-the-week effect

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  • C.-S. Hsieh
  • C.-T. Chen
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    Abstract

    We used stochastic dominance theory which is distribution-free, with and without risk-free asset to examine whether the day-of-the-week effect exists in the Taiwan Interbank Call Loan Market (TICLM). The empirical evidence from TICLM presented here suggests that Mondays are associated with higher return than all the other trading days of the week in the all various maturities except overnight. Tuesday is associated with higher returns in the overnight maturity. These results imply that financial institution getting the right asset allocation and to have a better funds management.

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    File URL: http://hdl.handle.net/10.1080/09603107.2011.646061
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 14 (July)
    Pages: 1207-1213

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    Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1207-1213

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