Month-of-the-Year and Symmetrical Effects in the Nikkei 225

Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen (2012) Month-of-the-Year and Symmetrical Effects in the Nikkei 225. Journal of Business and Management (IOSRJBM), 3 (2). 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
Uncontrolled Keywords: month-of-the-year-effect, Nikkei 225, TGARCH, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 09 Oct 2017 03:14
Last Modified: 09 Oct 2017 03:14
URI: http://ir.unimas.my/id/eprint/17992

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