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Japanese security market regularities : Monthly, turn-of-the-month and year, holiday and golden week effects

Citations

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Cited by:

  1. Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.
  2. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
  3. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
  4. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
  5. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Prolonged holiday effects on Romanian capital market before and after the adhesion to EU," MPRA Paper 52770, University Library of Munich, Germany, revised Jan 2013.
  6. Lauterbach, Beni & Ungar, Meyer, 1995. "Real vs. nominal stock return seasonalities: empirical evidence," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 133-147.
  7. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "MOY effects in returns and in volatilities of the Romanian capital market," MPRA Paper 52474, University Library of Munich, Germany, revised 28 Oct 2013.
  8. Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(3), pages 43-61, December.
  9. Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 107-122, October-D.
  10. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
  11. Tariq Aziz & Valeed Ahmad Ansari, 2018. "The Turn of the Month Effect in Asia-Pacific Markets: New Evidence," Global Business Review, International Management Institute, vol. 19(1), pages 214-226, February.
  12. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
  13. Lee, Yu Kyung & Kim, Ryumi, 2022. "The turn-of-the-month effect and trading of types of investors," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  14. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
  15. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.
  16. Booth, G. Geoffrey & Kallunki, Juha-Pekka & Martikainen, Teppo, 2001. "Liquidity and the turn-of-the-month effect: evidence from Finland," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 137-146, June.
  17. Jakub Keller, 2016. "Day-of-the-week effect among the smallest enterprises listed on WSE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(3), pages 92-102, February.
  18. Cemal Berk Oğuzsoy & Sibel Güven, 2006. "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 1-13, April.
  19. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
  20. Cemal Berk Oğuzsoy & Sibel Güven, 2004. "Holy Days Effect on Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 63-75, January.
  21. Muhammad Sarmad Irtiza & Shahbaz Khan & Nida Baig & Syed Muhammad Ali Tirmizi & Ilyas Ahmad, 2021. "The turn-of-the-month effect in Pakistani stock market," Future Business Journal, Springer, vol. 7(1), pages 1-11, December.
  22. Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," FRB Atlanta Working Paper 2000-6, Federal Reserve Bank of Atlanta.
  23. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
  24. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
  25. Stefanescu Razvan & Dumitriu Ramona, 2020. "Changes of the Time Intervals Specific to Calendar Anomalies: the Case of TOQ Effect on Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 264-273.
  26. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
  27. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," FRB Atlanta Working Paper 2000-11, Federal Reserve Bank of Atlanta.
  28. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
  29. Camilleri, Silvio John, 2008. "Month-Related Seasonality of Stock Price Volatility: Evidence from the Malta Stock Exchange," MPRA Paper 62493, University Library of Munich, Germany.
  30. 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.
  31. 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.
  32. Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers WP2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  33. Tirthank Shah & Narayan Baser, 2022. "Global mutual fund market: the turn of the month effect and investment strategy," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 466-476, October.
  34. Michael Weigerding & Michael Hanke, 2018. "Drivers of seasonal return patterns in German stocks," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 173-196, February.
  35. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "The Extended Holiday Effect on US capital market," MPRA Paper 100463, University Library of Munich, Germany, revised 17 May 2020.
  36. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.
  37. 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.
  38. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
  39. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Month-of-the-year effects on Romanian capital market before and after the adhesion to European Union," MPRA Paper 53069, University Library of Munich, Germany, revised 04 Apr 2013.
  40. Casalin, Fabrizio, 2018. "Determinants of holiday effects in mainland Chinese and Hong-Kong markets," China Economic Review, Elsevier, vol. 49(C), pages 45-67.
  41. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
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