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Day of the Week Effects in Japanese Stocks

In: Calendar Anomalies And Arbitrage

Author

Listed:
  • Kiyoshi Kato

    (Nanzan University, Japan)

  • Sandra L. Schwartz

    (University of Tsukuba, Japan)

  • William T. Ziemba

    (Yamaichi Research Institute, Tokyo University of Tsukuba, Japan and University of British Columbia, Canada)

Abstract

Many of the anomalies in the U.S. markets also occur in Japan. Although literature on Japanese stock market anomalies is just starting to be written, we do have some good independent studies of interday and day of the week, small firm, and January effects, as well as the development of data bases and arbitrage pricing equations. In this paper, we survey several studies on the day of the week effect.1 Other anomalies are discussed in Ziemba (1989ab). For other aspects of the Japanese stock market see Ziemba (1989c) and Ziemba and Schwartz (1990)…

Suggested Citation

  • Kiyoshi Kato & Sandra L. Schwartz & William T. Ziemba, 2012. "Day of the Week Effects in Japanese Stocks," World Scientific Book Chapters, in: Calendar Anomalies And Arbitrage, chapter 13, pages 321-342, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814405461_0013
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