Month-of-the-year and symmetrical effects in the Nikkei 225

Chia, Ricky Chee Jiun and Venus Khim-Sen Liew (2012) Month-of-the-year and symmetrical effects in the Nikkei 225. IOSR Journal of Business and Management, 3. pp. 68-72. ISSN 2278-487X

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Abstract

This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive conditional heteroscedasticity (TGARCH) model reveals no significant asymmetrical effect on good and bad news. The existence of month-of-the-year effect in TSE suggests that by means of properly timed investment strategies, financial managers, financial counselors and investors could take advantage of the patterns and gain profit.

Item Type: Article
Keyword: Month-of-the-year-effect , Nikkei 225 , TGARCH
Subjects: H Social Sciences > HF Commerce > HF1-6182 Commerce > HF5001-6182 Business > HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc.
Department: FACULTY > Labuan Faculty of International Finance
Depositing User: SAFRUDIN BIN DARUN -
Date Deposited: 19 Nov 2021 10:16
Last Modified: 19 Nov 2021 10:16
URI: https://eprints.ums.edu.my/id/eprint/30964

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