Day-of-the-week effects: evidence from developing stock markets

Kie Ann Wong · Tak Hee Hui · Choy Yin Chan

97 citations0/0 files storedApplied Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

An extension of the research on the day-of-the-week effect to the stock markets of Singapore, Malaysia, Hong Kong, Thailand and Taiwan is presented. These small-sized markets are still much neglected. We find that there is a day-of-the-week effect in all these markets except Taiwan. These four markets have negative mean returns on Monday or Tuesday and high positive returns on Friday. Further analysis with four subperiods of data reveals that the weekly seasonal patterns appear to be period specific. The US stock market has little contribution to the day-of-the-week effect in these four markets. Thin trading does not seem to have a significant impact on the day-of-the-week effect in the Singapore market.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 97 citations exist upstream.

References

1993The journal of financial economics 1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns 1986A transaction data study of weekly and intradaily patterns in stock returns 1985The Week-End Effect in Common Stock Returns: The International Evidence 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note 1982Weekend Effects on Stock Returns: A Note 1986Day-of-the-week and intraday effects in stock returns

Cited by

2001Stock returns, seasonality and asymmetric conditional volatility in world equity markets 1999Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China 2006The Disappearing Calendar Anomalies in the Singapore Stock Market 2004Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approach 2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.