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...
Saved in:
Main Author: | |
---|---|
Format: | Thesis |
Language: | English English |
Published: |
2008
|
Subjects: | |
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 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
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 |