Day-of-the-week effects in emerging stock markets
This study uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. The results in this study show that while the day-of-the-week effect is not present in the majority of emerging stock markets studied, some emerging stock markets do exhibit strong day-of-the-week effects even after accounting for conditional market risk.
Year of publication: |
2006
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Authors: | Basher, Syed ; Sadorsky, Perry |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 13.2006, 10, p. 621-628
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Publisher: |
Taylor & Francis Journals |
Saved in:
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