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

Chia, Ricky Chee Jiun and V., K. S. Liew and Syed Azizi Wafa Syed Khalid Wafa (2008) Day-of-the-week effects in selected East Asian stock markets. Economics Bulletin, 7 (5). ISSN 1545-2921


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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.

Item Type: Article
Uncontrolled Keywords: East Asian, Stock markets
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > School of Business and Economics
SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 06 Apr 2011 16:29
Last Modified: 30 Aug 2021 22:28

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