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

  • Boynton, Wentworth
  • Oppenheimer, Henry R.
  • Reid, Sean F.
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4VXB8W6-1/2/460fbc3df43707484470e5a442e4283e
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 20 (2009)
    Issue (Month): 1 ()
    Pages: 1-12

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    Handle: RePEc:eee:glofin:v:20:y:2009:i:1:p:1-12
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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