Month-of-the-Year and Symmetrical Effects in the Nikkei 225

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Month-of-the-Year and Symmetrical Effects in the Nikkei 225

This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive...

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Bibliographic Details
Main Authors:	Chia, Ricky Chee-Jiun, Liew, Venus Khim-Sen
Format:	Article
Language:	English
Published:	IOSR 2012
Subjects:	H Social Sciences (General)
Online Access:	http://ir.unimas.my/id/eprint/17992/ http://ir.unimas.my/id/eprint/17992/1/Ricky.pdf

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