Using stochastic dominance criterion to examine the day-of-the-week effect
We used stochastic dominance theory which is distribution-free, with and without risk-free asset to examine whether the day-of-the-week effect exists in the Taiwan Interbank Call Loan Market (TICLM). The empirical evidence from TICLM presented here suggests that Mondays are associated with higher return than all the other trading days of the week in the all various maturities except overnight. Tuesday is associated with higher returns in the overnight maturity. These results imply that financial institution getting the right asset allocation and to have a better funds management.
Volume (Year): 22 (2012)
Issue (Month): 14 (July)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1207-1213. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.