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Japanese day-of-the-week return patterns: New results

Author

Listed:
  • Boynton, Wentworth
  • Oppenheimer, Henry R.
  • Reid, Sean F.

Abstract

We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.

Suggested Citation

  • Boynton, Wentworth & Oppenheimer, Henry R. & Reid, Sean F., 2009. "Japanese day-of-the-week return patterns: New results," Global Finance Journal, Elsevier, vol. 20(1), pages 1-12.
  • Handle: RePEc:eee:glofin:v:20:y:2009:i:1:p:1-12
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    References listed on IDEAS

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    Cited by:

    1. Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.

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    Keywords

    Day-of-the-week return patterns;

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