Calendar anomalies in selected Asian stock returns

This study examines the calendar anomalies In selected Asian stock markets (China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, Singapore, South Korea, Taiwan and Thailand) over the period ranging from January 2000 to December 2006. The study uses the daily stock returns to examine the day-of...

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Main Author:	Chia, Ricky Chee Jiun
Format:	Thesis
Language:	English English
Published:	2008
Subjects:	HG4501-6051 Investment capital formation speculation
Online Access:	https://eprints.ums.edu.my/id/eprint/9321/1/24%20PAGES.pdf https://eprints.ums.edu.my/id/eprint/9321/2/FULLTEXT.pdf
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id	my-ums-ep.9321
record_format	uketd_dc
spelling	my-ums-ep.93212024-05-17T05:51:38Z Calendar anomalies in selected Asian stock returns 2008 Chia, Ricky Chee Jiun HG4501-6051 Investment, capital formation, speculation This study examines the calendar anomalies In selected Asian stock markets (China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, Singapore, South Korea, Taiwan and Thailand) over the period ranging from January 2000 to December 2006. The study uses the daily stock returns to examine the day-of-the-week effect; while monthly stock returns to examine the month-of-the-year effect. Using various generalized autoregressive conditional heteroskedasticity models, this study found different anomaly patterns In Asian stock markets. Among other Important findings, the evidence of negative Monday returns In Indonesia, Singapore, Taiwan and Malaysia stock markets were consistent with related literature. On the other hand, the study found January effect In Taiwan and the Philippines stock markets. The findings on the mean returns and the volatility In Asian stock markets could be useful for financial managers and international investors in designing trading strategies to reduce risk and gain abnormal profit from It Further analysis, using the EGARCH and TGARCH models, which took into account the asymmetric behavior In the Asian stock markets, may give more Information to the Investors In adjusting the Investment portfolio due to the market reactions on the positive and negative news. Finally, several strategies were developed from the findings of the day-of-the-week and month-of-the-year effects In this study. 2008 Thesis https://eprints.ums.edu.my/id/eprint/9321/ https://eprints.ums.edu.my/id/eprint/9321/1/24%20PAGES.pdf text en public https://eprints.ums.edu.my/id/eprint/9321/2/FULLTEXT.pdf text en validuser masters Universiti Malaysia Sabah Sekolah Perniagaan dan Kewangan Antarabangsa Labuan
institution	Universiti Malaysia Sabah
collection	UMS Institutional Repository
language	English English
topic	HG4501-6051 Investment capital formation speculation
spellingShingle	HG4501-6051 Investment capital formation speculation Chia, Ricky Chee Jiun Calendar anomalies in selected Asian stock returns
description	This study examines the calendar anomalies In selected Asian stock markets (China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, Singapore, South Korea, Taiwan and Thailand) over the period ranging from January 2000 to December 2006. The study uses the daily stock returns to examine the day-of-the-week effect; while monthly stock returns to examine the month-of-the-year effect. Using various generalized autoregressive conditional heteroskedasticity models, this study found different anomaly patterns In Asian stock markets. Among other Important findings, the evidence of negative Monday returns In Indonesia, Singapore, Taiwan and Malaysia stock markets were consistent with related literature. On the other hand, the study found January effect In Taiwan and the Philippines stock markets. The findings on the mean returns and the volatility In Asian stock markets could be useful for financial managers and international investors in designing trading strategies to reduce risk and gain abnormal profit from It Further analysis, using the EGARCH and TGARCH models, which took into account the asymmetric behavior In the Asian stock markets, may give more Information to the Investors In adjusting the Investment portfolio due to the market reactions on the positive and negative news. Finally, several strategies were developed from the findings of the day-of-the-week and month-of-the-year effects In this study.
format	Thesis
qualification_level	Master's degree
author	Chia, Ricky Chee Jiun
author_facet	Chia, Ricky Chee Jiun
author_sort	Chia, Ricky Chee Jiun
title	Calendar anomalies in selected Asian stock returns
title_short	Calendar anomalies in selected Asian stock returns
title_full	Calendar anomalies in selected Asian stock returns
title_fullStr	Calendar anomalies in selected Asian stock returns
title_full_unstemmed	Calendar anomalies in selected Asian stock returns
title_sort	calendar anomalies in selected asian stock returns
granting_institution	Universiti Malaysia Sabah
granting_department	Sekolah Perniagaan dan Kewangan Antarabangsa Labuan
publishDate	2008
url	https://eprints.ums.edu.my/id/eprint/9321/1/24%20PAGES.pdf https://eprints.ums.edu.my/id/eprint/9321/2/FULLTEXT.pdf
_version_	1804890334121951232

Calendar anomalies in selected Asian stock returns

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