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

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Author Info
Chia, Ricky Chee-Jiun
Liew, Venus Khim-Sen
Syed Khalid Wafa, Syed Azizi Wafa

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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://mpra.ub.uni-muenchen.de/7299/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7299.

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Date of creation: 2007
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Handle: RePEc:pra:mprapa:7299

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Related research
Keywords: calender anomalies day-of-the-week effects East Asian EGARCH-M Model.

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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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)
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  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!]
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  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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