[PDF] Day Of The Week Effects In The Asian Stock Markets eBook

Author : Shiguang Ma
Publisher : Routledge
Page : 304 pages
File Size : 43,84 MB
Release : 2017-11-30
Category : Business & Economics
ISBN : 1351146904

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By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.

Author : Martina Novotná
Publisher :
Page : pages
File Size : 14,40 MB
Release : 2018
Category :
ISBN :

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The weekday effect anomaly is considered as a market pricing anomaly which refers to some regularities in the rates of return during the week and thus, is a category of calendar anomalies. This article is focused on the Chinese stock market and its main objective is to assess the presence of the day of the week effect anomaly through examining the SSE and SZSE Composite Indexes. In this study, it is firstly examined whether there are significant differences between Monday and other weekday daily returns using the tests of differences between two means. The following empirical study is focused on the relationship between daily returns and weekdays, which is conducted using binary logistic regression analysis. The overall results indicate that both indexes show the presence of the day of the week effect, and the effect is significantly greater in the Shenzhen stock exchange. In both markets, Thursday daily returns significantly differ from other daily returns, which suggests a specific day of the week effect in the Chinese stock markets.

Author : Marc Häfliger
Publisher :
Page : pages
File Size : 16,80 MB
Release : 2012
Category :
ISBN :

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This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.

Author : Qaiser Munir
Publisher : Routledge
Page : 271 pages
File Size : 41,52 MB
Release : 2016-10-04
Category : Business & Economics
ISBN : 1317270290

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The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

Author : Hakan Berument
Publisher :
Page : pages
File Size : 42,21 MB
Release : 2018
Category :
ISBN :

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This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.