Day-of-the-week effects in emerging stock markets

Syed A. Basher and Perry Sadorsky
Additional contact information
Syed A. Basher: York University
Perry Sadorsky: York University

Finance from University Library of Munich, Germany

Abstract: This paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. Other countries like Argentina, Malaysia, Thailand, and Turkey exhibit day-of-the-week effects in only some of the models.

Keywords: Emerging markets; market risk (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 14 pages
Date: 2004-07-21
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Note: Type of Document - pdf; pages: 14
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0407/0407017.pdf (application/pdf)

Related works:
Journal Article: Day-of-the-week effects in emerging stock markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0407017

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