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

  • Syed Basher
  • Perry Sadorsky

This study 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. The results in this study show that while the day-of-the-week effect is not present in the majority of emerging stock markets studied, some emerging stock markets do exhibit strong day-of-the-week effects even after accounting for conditional market risk.

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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 10 ()
Pages: 621-628

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Handle: RePEc:taf:apeclt:v:13:y:2006:i:10:p:621-628
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  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.
  2. 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.
  3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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  6. 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.
  7. 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.
  8. Flannery, Mark J & Protopapadakis, Aris A, 1988. " From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality," Journal of Finance, American Finance Association, vol. 43(2), pages 431-50, June.
  9. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
  10. 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.
  11. Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 155-158.
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