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The Asian crisis and calendar effects on stock returns in Thailand

  • Holden, Ken
  • Thompson, John
  • Ruangrit, Yuphin
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4BT1TW5-8/2/ec80884832bd397a80e17a81d71ac2d7
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 163 (2005)
    Issue (Month): 1 (May)
    Pages: 242-252

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    Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:242-252
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. Roger Vergin & John McGinnis, 1999. "Revisiting the Holiday Effect: is it on holiday?," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 477-482.
    3. Ariel, Robert A, 1990. " High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-26, December.
    4. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
    5. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
    6. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December.
    7. Nabeel Al-Loughani & David Chappell, 2001. "Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 353-359.
    8. 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.
    9. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    10. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    11. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    12. Pettengill, Glenn N, 1989. "Holiday Closings and Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 57-67, Spring.
    13. Taufiq Choudhry, 2000. "Meltdown of 1987 and meteor showers among Pacific-Basin stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 71-80.
    14. Kwong Cheung & J. Andrew Coutts, 1999. "The January effect and monthly seasonality in the Hang Seng index: 1985-97," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 121-123.
    15. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
    16. Thaler, Richard H, 1987. "The January Effect," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 197-201, Summer.
    17. 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.
    18. Theodor Kohers & Jayen Patel, 1999. "A new time-of-the-month anomaly in stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 115-120.
    19. Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 235-242.
    20. 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.
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