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Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

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  1. repec:rej:journl:v:9:y:2006:i:21:p:45-55 is not listed on IDEAS
  2. Wu, Chunchi & Su, Youg-Chern, 1998. "Dynamic relations among international stock markets," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 63-84.
  3. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  4. Raj Aggarwal & Ramesh P. Rao & Takato Hiraki, 1989. "Skewness And Kurtosis In Japanese Equity Returns: Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 253-260, September.
  5. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
  6. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
  7. Mehmet Hasan Eken & Taylan Ozgür Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
  8. repec:rej:journl:v:9:y:2006:i:21:p:33-44 is not listed on IDEAS
  9. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
  10. Raj Aggarwal & Ramesh P. Rao & Takato Hiraki, 1990. "Regularities In Tokyo Stock Exchange Security Returns: P/E, Size, And Seasonal Influences," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 249-263, September.
  11. Julijana Angelovska, 2013. "An Econometric Analysis of Market Anomaly - Day of the Week Effect on a Small Emerging Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 314-322, January.
  12. repec:rej:journl:v:9:y:2006:i:21:p:95-100 is not listed on IDEAS
  13. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
  14. Tang, G. Y. N. & Kwok, K-h., 1997. "Day of the week effect in international portfolio diversification: January vs non-January," Japan and the World Economy, Elsevier, vol. 9(3), pages 335-352, August.
  15. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
  16. repec:rej:journl:v:9:y:2006:i:21:p:57-63 is not listed on IDEAS
  17. repec:rej:journl:v:9:y:2006:i:21:p:65-69 is not listed on IDEAS
  18. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  19. Mookerjee, Rajen & Yu, Qiao, 1999. "Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen," Global Finance Journal, Elsevier, vol. 10(1), pages 93-105.
  20. repec:rej:journl:v:9:y:2006:i:21:p:21-32 is not listed on IDEAS
  21. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
  22. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
  23. Husain, Fazal, 2000. "The Day of the Week Effect in the Pakistani Equity Market: An Investigation," MPRA Paper 5268, University Library of Munich, Germany.
  24. Dennis Coates & Brad R. Humphreys, 2008. "The Effect of On-Field Success on Stock Prices: Evidence from Nippon Professional Baseball," Working Papers 0805, International Association of Sports Economists;North American Association of Sports Economists.
  25. Matsumoto, Keishiro & Hoban Jr., James P., 1999. "Seasonality in the rates of return on Japanese ADRs," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 67-81, February.
  26. Fatemi, Ali M. & Park, Jinwoo, 1996. "Seasonal patterns in Japanese ADR returns and the US stock market influence," Japan and the World Economy, Elsevier, vol. 8(1), pages 65-79, March.
  27. repec:rej:journl:v:9:y:2006:i:21:p:5-20 is not listed on IDEAS
  28. Kunkel, Robert A. & Compton, William S. & Beyer, Scott, 2003. "The turn-of-the-month effect still lives: the international evidence," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 207-221.
  29. Christopher K. Ma & Ramesh P. Rao & Herbert J. Weinraub, 1988. "The Seasonality In Convertible Bond Markets: A Stock Effect Or Bond Effect?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(4), pages 335-347, December.
  30. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
  31. repec:rej:journl:v:9:y:2006:i:21:p:81-92 is not listed on IDEAS
  32. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.
  33. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 275-293, August.
  34. Abhyankar, Abhay H., 1995. "Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 75-92, May.
  35. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
  36. Stefanescu, Razvan & Dumitriu, Ramona, 2011. "Turn - of - the - month effect on the Bucharest stock exchange," MPRA Paper 36566, University Library of Munich, Germany, revised 10 Feb 2012.
  37. repec:rej:journl:v:9:y:2006:i:21:p:71-79 is not listed on IDEAS
  38. Lei Gao & Gerhard Kling, 2005. "Calendar Effects in Chinese Stock Market," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 75-88, May.
  39. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
  40. Ratner, Mitchell, 1996. "Investigating the behavior and characteristics of the Madrid Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 135-149, January.
  41. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, vol. 9(3), pages 363-384, August.
  42. Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016. "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(59), pages 73-94, March.
  43. repec:rej:journl:v:9:y:2006:i:21:p:101-105 is not listed on IDEAS
  44. Dumitriu, Ramona & Stefanescu, Razvan, 2010. "Changes in the DOW effects in the Romanian foreign exchange market," MPRA Paper 41666, University Library of Munich, Germany, revised 15 Mar 2010.
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