Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
By Chris Brooks, G. Persand. Applied Economics Letters, 2001
209 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ced0e60034b991d3e2c810b3156e6d1e5135f400
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- S. Basher
- J. De Gooijer
- Perry Sadorsky
- Rob J Hyndman
- Muhammad Shahbaz
- George Filis
- Duc Khuong Nguyen
- Stavros Degiannakis *
In Finance
- S. Basher
- N. Kohers
- Rob J Hyndman
- J. De Gooijer
- Perry Sadorsky
- Aktham Issa Maghyereh
- B. Awartani
- Anupam Dutta
Citations in the corpus
- 25 years of time series forecasting (2006, background): “SAS Program: Estimation DSARIMA proc arima data=listrik out=b1; /*** IDENTIFICATION Step ***/ identify var=y(1,48,336) nlag=12; run; /*** PARAMETER ESTIMATION & DIAGNOSTIC CHECK Step ***/ estimate p=(5,8) q=(1)(24)(168) noconstant; run; /*** FORECASTING Step ***/ forecast lead=336 out=b2 noprint; ru”
- Day-of-the-week effects in emerging stock markets (2006, background): “These results are different from Brooks and Persand (2001) who found no day-of-the-week effect for the Philippines but their paper did not include conditional market risk analysis or use excess returns.”
- The disappearing day-of-the-week effect in the world's largest equity markets (2004, background): “On the other hand, for several Pacific Rim countries, the lowest rate of return tends to occur on Tuesdays (Jaffe and Westerfield, 1985; Dubois and Louvet, 1996; Davidson and Faff, 1999; Brooks and Persand, 2001).”