Day-of-the-week effects in selected East Asian stock markets

Ricky Chia (), Venus Liew and Syed Azizi Wafa Syed Khalid Wafa

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday and positive Friday effects are detected in the stock markets Taiwan, Singapore and Hong Kong. Further analysis shows that only Friday effect in Taiwan is sustainable while all other effects disappeared completely after accounting for equity risks. Besides, this study also finds evidences of risk and return tradeoff as well as asymmetrical market effects.

Keywords: calender anomalies; day-of-the-week effects; East Asian; EGARCH-M Model (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (2)

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Journal Article: Day-of-the-week effects in Selected East Asian stock markets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:7299

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