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

Brooks, C. and Persand, G. (2001) Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8 (3). pp. 155-158. ISSN 1466-4291

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To link to this item DOI: 10.1080/13504850150504504

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35964
Publisher:Taylor & Francis

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