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Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.
1350-4851
155-158
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d

Brooks, Chris and Persand, Gita (2001) Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8 (3), 155-158. (doi:10.1080/13504850150504504).

Record type: Article

Abstract

This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.

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Published date: 2001

Identifiers

Local EPrints ID: 35868
URI: https://eprints.soton.ac.uk/id/eprint/35868
ISSN: 1350-4851
PURE UUID: 112d5021-bfcb-4977-b271-248c021d6673

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Date deposited: 23 May 2006
Last modified: 15 Jul 2019 19:05

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