Test for calendar anomalies in six emerging Asian markets – results from the GARCH model
This paper focuses on the identification of calendar anomalies in six emerging Asian countries. The countries under investigation are China, India, Indonesia, Malaysia, Philippines and Taiwan. They are being investigated to determine the existence of ‘day of the week’ effect, ‘month specific’ effect...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2012
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| Online Access: | https://eprints.nottingham.ac.uk/25729/ |