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Day-of-the-week effects in emerging stock markets

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Author Info
Syed A. Basher (York University)
Perry Sadorsky (York University)

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Abstract

This 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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File URL: http://129.3.20.41/eps/fin/papers/0407/0407017.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0407017.

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Length: 14 pages
Date of creation: 21 Jul 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0407017

Note: Type of Document - pdf; pages: 14
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Web page: http://129.3.20.41

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Related research
Keywords: Emerging markets; market risk;

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G - Financial Economics

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-54, June. [Downloadable!] (restricted)
  3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  4. Rogalski, Richard J, 1984. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-14, December. [Downloadable!] (restricted)
  5. 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.
  6. 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)
  7. Mark J. Flannery & Aris A. Protopapadakis, 1987. "From t-bills to common stocks: investigating the generality of intra- week return seasonality," Working Papers 87-19, Federal Reserve Bank of Philadelphia.
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  8. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October. [Downloadable!] (restricted)
  9. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245. [Downloadable!] (restricted)
  10. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November. [Downloadable!] (restricted)
  11. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. 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. [Downloadable!]
    Other versions:
  2. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany. [Downloadable!]
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