Day-Of-The-Week Effects: Evidence From The Chinese Stock Markets

Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Azizi Wafa, Syed Khalid Wafa (2011) Day-Of-The-Week Effects: Evidence From The Chinese Stock Markets. Journal of International Economic Review, 4 (1). pp. 1-12. ISSN 0975-2080

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Abstract

This study examines the day-of-the-week effects in the Hong Kong, Shanghai and Taiwan stock markets. The current findings on the mean returns and their volatility in the stock markets could be useful in designing the trading strategies and drawing investment decisions. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in these 3 stock markets. Further analysis using TGARCH model, uncover asymmetrical market reactions on the positive and negative news, rendering doubts on the appropriateness of the previous research that employed the symmetrical GARCH model in their analysis of day-of-the-week effects.

Item Type: Article
Uncontrolled Keywords: Day-of-the-week effects, stock markets, GARCH, TGARCH model, asymmetric, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 27 Nov 2017 01:40
Last Modified: 27 Nov 2017 01:40
URI: http://ir.unimas.my/id/eprint/18607

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