TY - JOUR
T1 - Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
AU - Brooks, Chris
AU - Persand, Gitanjali
PY - 2001
Y1 - 2001
N2 - 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.
AB - 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.
U2 - 10.1080/13504850150504504
DO - 10.1080/13504850150504504
M3 - Article (Academic Journal)
SN - 1350-4851
VL - 8
SP - 155
EP - 158
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 3
ER -