Nothing Special   »   [go: up one dir, main page]

create a website
Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets. (2010). Lim, Shiok Ye ; Chia, Ricky.
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-09-00761.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Day?of?the?week effect and market liquidity: A comparative study from emerging stock markets of Asia†. (2023). Zaman, Syed Imran ; Alam, Syed Hasnain ; Aqil, Muhammad ; Khan, Badal.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:1:p:544-561.

    Full description at Econpapers || Download paper

  2. Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model. (2022). Bufalo, Michele ; Orlando, Giuseppe.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004888.

    Full description at Econpapers || Download paper

  3. Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1573.

    Full description at Econpapers || Download paper

  4. Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5877.

    Full description at Econpapers || Download paper

  5. The Role of Weather on Investors’ Monday Irrationality: Insights from Malaysia. (2014). Hooy, Chee-Wooi ; Brahmana, Rayenda ; Ahmad, Zamri.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:341.

    Full description at Econpapers || Download paper

  6. Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets. (2011). Lim, Shiok Ye ; Chia, Ricky ; Chee-Jiun, Chia Ricky .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00610.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aggarwal, A. and Tandon, K. (1994) Anomalies or illusions? Evidence from Stock Markets in Eighteen Countries, Journal of International Money and Finance, 13, 83 -106.

  2. Aggarwal, R. and Leal, R. (1996) Integration and Anomalies in the Emerging Markets of Asia and Latin America. In: J. Doukas and L. Lang (Eds.), Research in International Business and Finance, (Supplement 1, 75 - 99), Greenwich, CT: Jai Press.
    Paper not yet in RePEc: Add citation now
  3. Alexakis, P. and Xanthakis, M. (1995) Day Of The Week Effect on the Greek Stock Market, Applied Financial Economics, 5, 43 - 50.
    Paper not yet in RePEc: Add citation now
  4. Apolinario, R. M. C., Santana, 0. M., Sales, L. J. and Caro, A. R. (2006) Day Of The Week Effect on European Stock Markets, International Research Journal of Finance and Economics, 2, 53 - 70.
    Paper not yet in RePEc: Add citation now
  5. Arsad, Z. and Coutts, J. A. (1996) The Weekend Effect, Good News, Bad News and The Financial Times Industrial Ordinary Shares Index: 1935 - 9, Applied Economics Letters, 3,797-801.
    Paper not yet in RePEc: Add citation now
  6. Brooks, C. and Persand, G. (2001) Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-Of-The-Week Effects, Applied Economics Letters, 8, 155 - 158.

  7. Connolly, R. A. (1989) An Examination of the Robustness of the Weekend Effects, Journal of Financial and Quantitative Analysis, 24, 133 - 169.

  8. Fajardo, J. and Ferreira, R. (2008) Seasonal Effect on the Bovespa Index, Brazilian Business Review, 5, 233 - 241.

  9. Fama, E. (1970) Efficient Capital Markets: A Review of the Theory and Empirical Work, Journal of Finance, 25, 383 - 417.

  10. Gibbons, M. and Hess, P. (1981) Day of the Week Effects and Asset Returns, Journal of Business, 54, 579 - 596.

  11. Ho, P. C. and Kok, K. L. (1995) Day-Of-The-Week Effect of the Malaysian Second Board Stock Market, Malaysian Management Review, 1 - 10.
    Paper not yet in RePEc: Add citation now
  12. Hui, T. K. (2005) Day-Of-The-Week Effects in US and Asia-Pacific Stock Markets During the Asian Financial Crisis: A Non-Parametric Approach, The international Journal of Management Science, 33, 277 - 282.

  13. Jaffe, J. and Westerfield, R. (1985) The Week-End Effect in Common Stock Returns: The International Evidence, Journal of Finane, 40, 433 - 454.

  14. Jaffe, J., and Westerfield, R. and Ma, C. (1989) A Twist on the Monday Effect in Stock Prices: Evidence from the US and Foreign Stock Markets, Journal of Banking and Finance, 13, 641 - 650.

  15. Keim, D. and Stambaugh, R. (1984) A Further Investigation of the Week-End Effect in Stock Returns, Journal of Finance, 39, 819 - 835.

  16. Kunkel, R. A., Compton, W. S. and Beyer, 5. (2003) The Turn-Of-The-Month Effect Still Alives: The International Evidence, International Review of Financial Analysis, 12, 207 -221.
    Paper not yet in RePEc: Add citation now
  17. Lakonishok, H. J. and Levi, M. (1982) Week-End Effects on Stock Returns: A Note, Journal of Finance, 37, 883 - 889.
    Paper not yet in RePEc: Add citation now
  18. Lakonishok, H. J. and Maberly, E. (1990) The Weekend Effect: Trading Patterns of Individual and Institutional Investors, Journal of Finance, 45, 231-243.

  19. Lakonishok, H. J. and Smidt, 5. (1988) Are Seasonal Anomalies Real? A Ninety Year Perspective, Review of Financial Studies, 1, 403 - 425.

  20. Lim, S. Y., Ho, C. M. and Dollery, B. E. (2010) An Empirical Analysis of Calendar Anomalies in the Malaysian Stock Market, Applied Financial Economics, 20, 255 - 264 Madureira, L. L. and Leal, R. P. C. (2001) Elusive Anomalies in the Brazilian Stock Market, International Review of Financial Analysis, 10, 123 - 134.

  21. Newbold, P., Carlson, W. L. and Thorne, B. (2003) Nonparametric Statistics, in Statistics for business and economics (eds) Tucker, T., Boardman, P. J., Rusnak, E. and Lee, ~ 5th ed, Prentice Hall, New York, 531 - 555.
    Paper not yet in RePEc: Add citation now
  22. Pena, J. I. (1995) Daily Seasonalities and Stock Market Reform in Spain, Applied Financial Economics, 5, 419 - 423.
    Paper not yet in RePEc: Add citation now
  23. Solnik, B. and Bousquet, L. (1990) Day of the Week Effect on the Paris Bourse, Journal of Banking and Finance, 14, 461 - 468.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Day-of-the-week effect among the smallest enterprises listed on WSE. (2016). Keller, Jakub .
    In: e-Finanse.
    RePEc:rze:efinan:v:11:y:2016:i:3:p:92-102.

    Full description at Econpapers || Download paper

  2. The prospects of BRIC countries: Testing weak-form market efficiency. (2014). Fiorante, Angelo ; Mobarek, Asma.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:217-232.

    Full description at Econpapers || Download paper

  3. Is there a Friday the 13th effect in ermerging Asian stock markets?. (2013). Rottmann, Horst ; Auer, Benjamin R..
    In: Weidener Diskussionspapiere.
    RePEc:zbw:hawdps:35.

    Full description at Econpapers || Download paper

  4. Month-of-the-year effects on Romanian capital market before and after the adhesion to European Union. (2013). Stefanescu, Razvan ; DUMITRIU, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:53069.

    Full description at Econpapers || Download paper

  5. MOY effects in returns and in volatilities of the Romanian capital market. (2013). Stefanescu, Razvan ; DUMITRIU, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:52474.

    Full description at Econpapers || Download paper

  6. Day-of-the-Week Effects in the Indian stock market. (2013). P, Srinivasan ; M., Kalaivani, ; P., Srinivasan, .
    In: MPRA Paper.
    RePEc:pra:mprapa:46805.

    Full description at Econpapers || Download paper

  7. Salient features of dependence in daily US stock market indices. (2013). Gil-Alana, Luis ; Cuñado, Juncal ; de Gracia, Fernando Perez ; Cunado, Juncal.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:15:p:3198-3212.

    Full description at Econpapers || Download paper

  8. The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity. (2013). Parikh, Anokhi ; Maher, Daniela .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:57-69.

    Full description at Econpapers || Download paper

  9. TOM EFFECTS DURING QUIET AND TURBULENT TIMES. (2013). Stefanescu, Razvan ; DUMITRIU, Ramona.
    In: Risk in Contemporary Economy.
    RePEc:ddj:fserec:y:2013:p:131-148.

    Full description at Econpapers || Download paper

  10. Is there a Friday the 13th Effect in Emerging Asian Stock Markets?. (2013). Rottmann, Horst ; Auer, Benjamin R..
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4409.

    Full description at Econpapers || Download paper

  11. Stock market return and volatility: day-of-the-week effect. (2012). Berument, Hakan ; Dogan, Nukhet.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:282-302.

    Full description at Econpapers || Download paper

  12. Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges. (2012). Sander, Priit ; Veiderpass, Risto .
    In: The Review of Finance and Banking.
    RePEc:rfb:journl:v:05:y:2013:i:2:p:145-154.

    Full description at Econpapers || Download paper

  13. The Halloween effect during quiet and turbulent times. (2012). Stefanescu, Razvan ; DUMITRIU, Ramona ; NISTOR, Costel .
    In: MPRA Paper.
    RePEc:pra:mprapa:41539.

    Full description at Econpapers || Download paper

  14. Turn - of - the - month effect on the Bucharest stock exchange. (2012). Stefanescu, Razvan ; DUMITRIU, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:36566.

    Full description at Econpapers || Download paper

  15. A multidimensional classification of market anomalies: Evidence from 76 price indices. (2012). Chen, Catherine Huirong ; Doyle, John R..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1237-1257.

    Full description at Econpapers || Download paper

  16. THE DAY OF THE WEEK EFFECT IN SOUTH EASTERN EUROPE STOCK MARKETS. (2012). Tevdovski, Dragan ; MIHAJLOV, MARTIN ; SAZDOVSKI, IGOR .
    In: Annals - Economy Series.
    RePEc:cbu:jrnlec:y:2012:v:3:p:20-24.

    Full description at Econpapers || Download paper

  17. The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange. (2012). Bostanci, Faruk ; Kilic, Saim .
    In: Istanbul Stock Exchange Review.
    RePEc:bor:iserev:v:12:y:2012:i:45:p:1-26.

    Full description at Econpapers || Download paper

  18. A Fresh Look at Seasonal Anomalies: An International Perspective. (2011). Darrat, Ali F. ; Su, Jenje ; Li, Bin ; Liu, Benjamin.
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:10:y:2011:i:2:p:93-116.

    Full description at Econpapers || Download paper

  19. Changes in the monthly effects from the Romanian foreign exchange market. (2010). Stefanescu, Razvan ; DUMITRIU, Ramona ; NISTOR, Costel .
    In: MPRA Paper.
    RePEc:pra:mprapa:41743.

    Full description at Econpapers || Download paper

  20. The day-of-the week effects on the volatility: The role of the asymmetry. (2010). CHARLES, Amelie.
    In: Post-Print.
    RePEc:hal:journl:hal-00771136.

    Full description at Econpapers || Download paper

  21. Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets. (2010). Lim, Shiok Ye ; Chia, Ricky.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00761.

    Full description at Econpapers || Download paper

  22. Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB. (2009). Giovanis, Eleftherios.
    In: MPRA Paper.
    RePEc:pra:mprapa:22326.

    Full description at Econpapers || Download paper

  23. The wandering weekday effect in major stock markets. (2009). Chen, Catherine Huirong ; Doyle, John R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:8:p:1388-1399.

    Full description at Econpapers || Download paper

  24. The dynamics of the Monday effect in international stock indices. (2009). Khaled, Mohammed ; Keef, Stephen ; Zhu, Hui.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:3:p:125-133.

    Full description at Econpapers || Download paper

  25. Analysis of HF data on the WSE in the context of EMH. (2008). Strawinski, Pawel ; Åšlepaczuk, Robert ; Strawiski, Pawe.
    In: Working Papers.
    RePEc:war:wpaper:2008-08.

    Full description at Econpapers || Download paper

  26. The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. (2008). Saadi, Samir ; Rahman, Abdul ; Baker, Kent H..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:4:p:280-295.

    Full description at Econpapers || Download paper

  27. Halloween or January? Yet another puzzle. (2008). lucey, brian ; Zhao, Shelly.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:1055-1069.

    Full description at Econpapers || Download paper

  28. Calendar anomaly in the Greek stock market: Stochastic dominance analysis. (2008). Koumanakos, Evangelos ; Pyun, Chong Soo ; Al-Khazali, Osamah M..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:3:p:461-474.

    Full description at Econpapers || Download paper

  29. Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach. (2007). Wong, Wing-Keung ; Smyth, Russell ; Lean, Hooi Hooi.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:17:y:2007:i:2:p:125-141.

    Full description at Econpapers || Download paper

  30. Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests. (2007). Palardy, Joseph ; McPherson, Matthew Q..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:5:p:452-464.

    Full description at Econpapers || Download paper

  31. Days-of- Week Effect on Tehran Stock Exchange Returns: An Empirical Analysis. (2006). Abounoori, Esmaiel ; Yahyazadehfar, Mahmood ; Shababi, Hooman .
    In: Iranian Economic Review.
    RePEc:eut:journl:v:11:y:2006:i:2:p:149.

    Full description at Econpapers || Download paper

  32. Investigating the determinants of the Wednesday seasonal in Irish Equities. (2006). lucey, brian.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:1:p:62-76.

    Full description at Econpapers || Download paper

  33. The Nepalese Stock Market: Efficient and Calendar Anomalies. (2005). Dr. Fatta Bahadur K. C., ; Joshi, Nayan Krishna .
    In: NRB Economic Review.
    RePEc:nrb:journl:v:17:y:2005:p:40-85.

    Full description at Econpapers || Download paper

  34. Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market. (2005). Brzeszczynski, Janusz ; Bohl, Martin T..
    In: CERT Discussion Papers.
    RePEc:hwe:certdp:0501.

    Full description at Econpapers || Download paper

  35. Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity. (2005). Vilasuso, Jon ; McPherson, Matthew Q. ; Palardy, Joseph .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:57:y:2005:i:2:p:103-118.

    Full description at Econpapers || Download paper

  36. Calendar Effects in Chinese Stock Market. (2005). Kling, Gerhard ; Gao, Lei.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2005:v:6:i:1:p:75-88.

    Full description at Econpapers || Download paper

  37. Emotion, fear and superstition in the New Zealand stockmarket. (2004). boyle, glenn ; Hagan, Andrew ; O'Connor, Seini R. ; Whitwell, Nick .
    In: New Zealand Economic Papers.
    RePEc:taf:nzecpp:v:38:y:2004:i:1:p:65-85.

    Full description at Econpapers || Download paper

  38. Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic. (2004). Paton, David.
    In: Working Papers.
    RePEc:nbs:wpaper:2004/3.

    Full description at Econpapers || Download paper

  39. Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence. (2004). Vollrath, Dietrich ; Moav, Omer ; Galor, Oded.
    In: Working Papers.
    RePEc:bro:econwp:2003-04.

    Full description at Econpapers || Download paper

  40. The reverse weekend effect: the U.S. market versus international markets. (2003). Schulman, Craig ; Liu, PU ; Brusa, Jorge .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:3:p:267-286.

    Full description at Econpapers || Download paper

  41. The turn-of-the-month effect still lives: the international evidence. (2003). Kunkel, Robert A. ; Compton, William S. ; Beyer, Scott .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:2:p:207-221.

    Full description at Econpapers || Download paper

  42. Testing the Significance of Calendar Effects. (2003). Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2003-03.

    Full description at Econpapers || Download paper

  43. The Halloween Indicator, Sell in May and Go Away: Another Puzzle. (2002). Bouman, Sven ; Jacobsen, Ben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:92:y:2002:i:5:p:1618-1635.

    Full description at Econpapers || Download paper

  44. Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998. (2001). Graflund, Andreas.
    In: Working Papers.
    RePEc:hhs:lunewp:2001_008.

    Full description at Econpapers || Download paper

  45. Heterokedastic behavior of the Latin American emerging stock markets. (2001). ortiz, edgar ; Arjona, Enrique.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:10:y:2001:i:3:p:287-305.

    Full description at Econpapers || Download paper

  46. Elusive anomalies in the Brazilian stock market. (2001). Madureira, Leonardo ; Leal, Ricardo P. C., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:10:y:2001:i:2:p:123-134.

    Full description at Econpapers || Download paper

  47. Losing Sleep at the Market: The Daylight Saving Anomaly. (2000). Levi, Maurice ; Kramer, Lisa ; Kamstra, Mark.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1005-1011.

    Full description at Econpapers || Download paper

  48. Short-run overreaction in the New Zealand stock market. (1998). Iverson, David ; Bowman, Robert G..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:6:y:1998:i:5:p:475-491.

    Full description at Econpapers || Download paper

  49. Predictable and profitable price patterns: Evidence from US interest rates. (1996). Moorthy, Vivek .
    In: Economics Letters.
    RePEc:eee:ecolet:v:51:y:1996:i:1:p:101-107.

    Full description at Econpapers || Download paper

  50. Some Empirics of the Turkish Stock Market. (1995). Balaban, Ercan.
    In: Discussion Papers.
    RePEc:tcb:dpaper:9508.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-11 09:14:22 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.