Day of the Week Effects in Japanese Stocks

Kiyoshi Kato, Sandra L. Schwartz and William T. Ziemba
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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

Chapter 13 in Calendar Anomalies and Arbitrage, 2012, pp 321-342 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractMany 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)…

Keywords: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
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