publication . Article . 2001

Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

Chris Brooks; Persand, G.;
Open Access English
  • Published: 01 Jan 2001
  • Publisher: Taylor & Francis
  • Country: United Kingdom
Abstract
This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: Market risk, Economics, Names of the days of the week, Financial economics, World price, Dummy variable, Seasonality, medicine.disease, medicine
Related Organizations

French, K.R., 1980, Stock Returns and the Weekend Effect, Journal of Financial Economics 8, 55-69 Gibbons, M.R. and P.J. Hess, 1981, Day of the Week Effects and Asset Returns, Journal of Business 54, 579-596 Jaffe, J.R. and R. Westerfield, 1985, The Weekend Effect in Common Stock Returns: The International Evidence, Journal of Finance 40, 432-454

Jensen, M.C., 1978, Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics 6, 95-101

Keim, D.B. and R.F. Stambaugh, 1984, A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance 39, 819-840 [OpenAIRE]

Newey, W.K. and K.D. West, 1987, A Simple, Positive Semi-Definite Heteroscedasticity and AutocorrelationConsistent Covariance Matrix, Econometrica 55, 703-708 [OpenAIRE]

Penman, S.H., 1987, The Distribution of Earnings News Over Time and Seasonalitlites in Aggregate Stock Returns, Journal of Financial Economics 18, 199-228

White, H., 1980, A Heteroscedasticity-Consitent Covariance Heteroscedasticity, Econometrica 48, 817-838

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