Day-Of-The-Week Effects: Evidence From The Chinese Stock Markets
This study examines the day-of-the-week effects in the Hong Kong, Shanghai and Taiwan stock markets. The current findings on the mean returns and their volatility in the stock markets could be useful in designing the trading strategies and drawing investment decisions. Investors can use the day-of-...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Serials Publications
2011
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18607/ http://ir.unimas.my/id/eprint/18607/7/DAY-OF-THE-WEEK%20EFFECTS%20%28abstract%29.pdf |
| Summary: | This study examines the day-of-the-week effects in the Hong Kong, Shanghai and Taiwan stock markets. The current findings on the mean returns and their volatility in the stock markets could be useful in designing the trading strategies and drawing
investment decisions. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in these 3 stock markets. Further analysis using TGARCH model, uncover asymmetrical market reactions on the positive and
negative news, rendering doubts on the appropriateness of the previous research that employed the symmetrical GARCH model in their analysis of day-of-the-week effects. |
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