Day-of-the-week effects in emerging stock markets
AbstractThis paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. Other countries like Argentina, Malaysia, Thailand, and Turkey exhibit day-of-the-week effects in only some of the models.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0407017.
Length: 14 pages
Date of creation: 21 Jul 2004
Date of revision:
Note: Type of Document - pdf; pages: 14
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Emerging markets; market risk;
Other versions of this item:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
- NEP-CFN-2004-07-26 (Corporate Finance)
- NEP-FIN-2004-07-26 (Finance)
- NEP-FMK-2004-07-26 (Financial Markets)
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