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

Jeffrey Jaffe and Randolph Westerfield

Journal of Financial and Quantitative Analysis, 1985, vol. 20, issue 2, 261-272

Abstract: Stock markets in the United States and foreign countries exhibit a strong weekly seasonal, an empirical regularity for which no theoretical explanation has been found. One's belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the United States by distance, institutional arrangements, and culture.

Date: 1985
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