Test for calendar anomalies in six emerging Asian markets – results from the GARCH model

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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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Bibliographic Details
Main Author:	Khan, Asif Harun
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/25729/

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