Nothing Special   »   [go: up one dir, main page]
create a website
The day of the week effects in Indonesia, Singapore, and Malaysia stock market. (2009). Mulyadi, Martin Surya ; Anwar, Yunita.
In: MPRA Paper.
RePEc:pra:mprapa:16873.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 34

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. Weekend Effect and Short Sales: Evidence from Hong Kong. (2017). Cai, Jinghan ; Zhai, Weili ; Xia, LE ; He, Jibao.
    In: International Journal of Economics and Financial Research.
    RePEc:arp:ijefrr:2017:p:8-18.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ajayi, R. A., S. Mehdian, and M. J. Perry. ”The Day-of-the-Week Effect in Stock Returns,” Emerging Markets Finance and Trade, 40 (2004): 53-62.
    Paper not yet in RePEc: Add citation now
  2. Andre, F. P. “The Capital Asset Pricing Model,” The Journal of Economic Perspectives, 18 (2004): 3-24.
    Paper not yet in RePEc: Add citation now

  3. Ariel, Robert A. “A Monthly Effect in Stock Returns,” Journal of Financial Economics, 18 (1987): 161-174.

  4. Aritonang, L. R. Kepuasan Pelanggan, Jakarta: PT Gramedia Pustaka Utama, 2005.
    Paper not yet in RePEc: Add citation now

  5. Arsad, Z. and J. A. Coutts. “Security price anomalies in the London International Stock Exchange: a 60 year perspective,” Applied Financial Economics, 7 (1997): 455-464.

  6. Banz, R. W. “The relationship between return and market value of common stocks,” Journal of Financial Economics, 9 (1981): 3-18.

  7. Basher, S. A. and P. Sadorsky. “Day-of-the-week effects in emerging stock markets,” Applied Economics Letters, 13 (2006): 621-628.

  8. Basu, S. “Investment performance of common stocks in relation to their P/E ratios: a test of the efficient market hypothesis,” Journal of Finance, 32 (1977): 663-682.

  9. Brooks, C. and G. Persand. “Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects,” Applied Economics Letters, 8 (2001): 155-158.

  10. Brooks, C. Introductory econometrics for finance, New York: Cambridge University Press, 2002.

  11. Chia, R. C. J., et. al. “Day-of-the-week effects in selected East Asian stock markets,” Munich Personal RePEc Archive no.7299 (2007): 2-4.

  12. Condoyanni, L., et. al. ”Day of the week effect on stock returns: International evidence,” Journal of Business Finance & Accounting, 14 (1987): 159-174.
    Paper not yet in RePEc: Add citation now
  13. Davies, J. L. “The cross-section of realized stock returns: the pre-COMPUSTAT evidence,” Journal of Finance, 49 (1994): 1579-1593.
    Paper not yet in RePEc: Add citation now

  14. DeBondt, W. and R. Thaler, “Further evidence on investor overreaction and stock market seasonality,” Journal of Finance, 42 (1987): 557-581.

  15. Elton, E. J. and M. J. Gruber. Modern portfolio theory and investment analysis, 5th ed. New York: John Wiley & Sons, Inc., 1995.
    Paper not yet in RePEc: Add citation now

  16. Fama, E. F. and K. R. French, “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics, 33 (1993): 3-56.

  17. Fama, E. F. and K. R. French, “Size and book-to-market factors in earnings and returns,” Journal of Finance, 50 (1995): 131-155.

  18. Gibbons, M. R. and P. Hess. “Day of the Week Effects and Asset Returns,” Journal of Business, 54 (1981): 579-596.

  19. Haugen, R. The New Finance: The Case against Efficient Markets. New Jersey: Prentice Hall, 1995.
    Paper not yet in RePEc: Add citation now

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

  21. Kato, K. and J. S. Schallheim. “Seasonal and Size Anomalies in the Japanese Stock Market,” Journal of Financial and Quantitative Analysis, 20 (1985): 243-260.

  22. Kothari, S. P., et. al., “Another look at the cross-section of expected stock returns,” Journal of Finance, 50 (1995): 185-224.

  23. Lakonishok, J. and S. Smidt. “Are Seasonal Anomalies Real? A Ninety-Year Perspective,” Journal of Financial Studies, 1 (1988): 403-428.

  24. Lakonishok, J., et. al., “Contrarian investment, extrapolation and risk,” Journal of Finance, 49 (1994): 1541-1578.
    Paper not yet in RePEc: Add citation now
  25. Lim, Ho and B. Dollery, “Stock Market Calender Anomalies: The Case of Malaysia,” Working Paper Series in Economics , 5 (2007): 3-12.
    Paper not yet in RePEc: Add citation now
  26. Malhotra, N. K., Marketing Research: An Applied Orientation. Singapore: Prentice Hall Inc., 2004.
    Paper not yet in RePEc: Add citation now

  27. Morelli, D. “Beta, size, book-to-market equity and returns: A study based on UK data,” Journal of Multinational Finance Management, 17 (2007): 257-272.

  28. Perrelli, Roberto. “Introduction to ARCH & GARCH models,” University of Illinois Optional TA Handout (2001): 1-7.
    Paper not yet in RePEc: Add citation now

  29. Pettengill, et. al., “Payment for risk: constant beta vs. dual beta models,” The Financial review, 37 (2002): 123-136.

  30. Reinganum, M. R., “Misspecification of capital asset pricing: empirical anomalies based on earnings’ yields and market values,” Journal of Financial Economics, 9 (1981): 19-46.

  31. Rosenberg, B., et. al., “Persuasive evidence on market inefficiency,” Journal of Portfolio Management, 11 (1985): 9-17.
    Paper not yet in RePEc: Add citation now
  32. Rossi, M. Calendar anomalies in stock returns: Evidence from South America. Unpublished BachelorÂ’s Thesis, Lappeenranta University of Technology, Lappeenranta, Finland, 2007.
    Paper not yet in RePEc: Add citation now
  33. Sharpe, W. F., et. al. Investments, 6th ed. New York: Prentice Hall, 2003.
    Paper not yet in RePEc: Add citation now

  34. Wong, K. A. and M. S. Lye, “Market values, earnings’ yields and stock returns: evidence from Singapore,” Journal of Banking and Finance, 14 (1990): 311-326.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The benefits of combining seasonal anomalies and technical trading rules. (2015). Hudson, Robert ; Gebka, Bartosz ; Atanasova, Christina V.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:14:y:2015:i:c:p:36-44.

    Full description at Econpapers || Download paper

  2. Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market. (2014). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:1401.

    Full description at Econpapers || Download paper

  3. Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2013. (2014). Ødegaard, Bernt.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2014_001.

    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. 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

  6. Analysis of within – month effects on the Bucharest stock exchange. (2012). Stefanescu, Razvan ; DUMITRIU, Ramona ; NISTOR, Costel .
    In: MPRA Paper.
    RePEc:pra:mprapa:36562.

    Full description at Econpapers || Download paper

  7. The friday the thirteenth effect in stock prices: international evidence using panel data. (2011). Khaled, Mohammed ; Keef, Stephen.
    In: Working Paper Series.
    RePEc:vuw:vuwecf:1994.

    Full description at Econpapers || Download paper

  8. Monthly seasonality in the Bucharest stock exchange. (2011). Stefanescu, Razvan ; DUMITRIU, Ramona ; NISTOR, Costel .
    In: MPRA Paper.
    RePEc:pra:mprapa:41603.

    Full description at Econpapers || Download paper

  9. 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

  10. Measuring closing price manipulation. (2011). Putnins, Talis ; Comerton-Forde, Carole .
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:20:y:2011:i:2:p:135-158.

    Full description at Econpapers || Download paper

  11. Are investors moonstruck? Further international evidence on lunar phases and stock returns. (2011). Khaled, Mohammed ; Keef, Stephen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:56-63.

    Full description at Econpapers || Download paper

  12. 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

  13. The decline of calendar seasonality in the Australian stock exchange, 1958–2005. (2010). Worthington, Andrew.
    In: Annals of Finance.
    RePEc:kap:annfin:v:6:y:2010:i:3:p:421-433.

    Full description at Econpapers || Download paper

  14. Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news?. (2010). Vähämaa, Sami ; Jalonen, Einari ; Vahamaa, Sami ; ijo, Janne.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:24:y:2010:i:1:p:75-81.

    Full description at Econpapers || Download paper

  15. Intraday Patterns in the Cross-section of Stock Returns. (2010). Korajczyk, Robert ; Heston, Steven L. ; Sadka, Ronnie .
    In: Papers.
    RePEc:arx:papers:1005.3535.

    Full description at Econpapers || Download paper

  16. Stock Market Anomalies: A Calender Effect in BSE-Sensex. (2009). Chandra, Abhijeet.
    In: MPRA Paper.
    RePEc:pra:mprapa:21290.

    Full description at Econpapers || Download paper

  17. The day of the week effects in Indonesia, Singapore, and Malaysia stock market. (2009). Mulyadi, Martin Surya ; Anwar, Yunita.
    In: MPRA Paper.
    RePEc:pra:mprapa:16873.

    Full description at Econpapers || Download paper

  18. Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs. (2009). Zumpano, Leonard ; Wiley, Jonathan .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:39:y:2009:i:2:p:180-201.

    Full description at Econpapers || Download paper

  19. Expiration-day effects: Does settlement price matter?. (2009). Hsieh, Shu-Fan ; Ma, Tai.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:18:y:2009:i:2:p:290-300.

    Full description at Econpapers || Download paper

  20. The day of the week effect in IPO initial returns. (2009). Ligon, James A. ; Jones, Travis L..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:1:p:110-127.

    Full description at Econpapers || Download paper

  21. The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation. (2009). Rakowski, David ; Wang, Xiaoxin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2102-2109.

    Full description at Econpapers || Download paper

  22. Analysis of HF data on the WSE in the context of EMH. (2008). Strawinski, Pawel ; Åšlepaczuk, Robert ; SLEPACZUK, Robert.
    In: MPRA Paper.
    RePEc:pra:mprapa:9532.

    Full description at Econpapers || Download paper

  23. 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

  24. Robust portfolio planning in the presence of market anomalies. (2007). Ogcaronuzsoy, Cemal Berk ; Guven, Sibel.
    In: Omega.
    RePEc:eee:jomega:v:35:y:2007:i:1:p:1-6.

    Full description at Econpapers || Download paper

  25. Are investors moonstruck? Lunar phases and stock returns. (2006). Zheng, Lu ; Yuan, Kathy.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:1:p:1-23.

    Full description at Econpapers || Download paper

  26. The Nepalese stock market: Efficiency and calendar anomalies. (2005). Joshi, Nayan ; K. C, Fatta Bahadur, .
    In: MPRA Paper.
    RePEc:pra:mprapa:26999.

    Full description at Econpapers || Download paper

  27. Testing the significance of calendar effects. (2005). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2005-02.

    Full description at Econpapers || Download paper

  28. The Asian crisis and calendar effects on stock returns in Thailand. (2005). Thompson, John ; Ruangrit, Yuphin ; Holden, Ken .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:163:y:2005:i:1:p:242-252.

    Full description at Econpapers || Download paper

  29. 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

  30. Time-of-month anomaly: reality or mirage?. (2003). Cadsby, Charles ; Torbey, V..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:12:p:741-745.

    Full description at Econpapers || Download paper

  31. 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

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

    Full description at Econpapers || Download paper

  33. Some International Evidence on the Seasonality of Stock Prices. (2002). Hamori, Shigeyuki ; Tokihisa, Akira .
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:1:y:2002:i:1:p:79-86.

    Full description at Econpapers || Download paper

  34. Is There Seasonality in the Sensex Monthly Returns?. (2002). Pandey, Indra ; Pandey I M, .
    In: IIMA Working Papers.
    RePEc:iim:iimawp:wp00038.

    Full description at Econpapers || Download paper

  35. Does the January effect exist in high-yield bond market?. (2001). Al-Khazali, Osamah M..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:10:y:2001:i:1:p:71-80.

    Full description at Econpapers || Download paper

  36. The day-of-the-week regularity in the stock markets of China. (2001). Rui, Oliver ; Chen, Gongmeng ; Kwok, Chuck C. Y., .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:2:p:139-163.

    Full description at Econpapers || Download paper

  37. Seasonality and stock returns: some evidence from Japan. (2001). Hamori, Shigeyuki.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:13:y:2001:i:4:p:463-481.

    Full description at Econpapers || Download paper

  38. Liquidity and the turn-of-the-month effect: evidence from Finland. (2001). Booth, Geoffrey G. ; Martikainen, Teppo ; Kallunki, Juha-Pekka.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:11:y:2001:i:2:p:137-146.

    Full description at Econpapers || Download paper

  39. Dangers of data mining: The case of calendar effects in stock returns. (2001). White, Halbert ; Timmermann, Allan ; Sullivan, Ryan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:105:y:2001:i:1:p:249-286.

    Full description at Econpapers || Download paper

  40. Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract. (2000). Waggoner, Daniel ; maberly, edwin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2000-11.

    Full description at Econpapers || Download paper

  41. Idiosyncrasies in Australian petrol price behaviour: evidence of seasonalities. (2000). Izan, H. Y, ; Ong, Li Lian ; Mitchell, Jason D.
    In: Energy Policy.
    RePEc:eee:enepol:v:28:y:2000:i:4:p:243-258.

    Full description at Econpapers || Download paper

  42. Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen. (1999). Yu, Qiao ; Mookerjee, Rajen .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:1:p:93-105.

    Full description at Econpapers || Download paper

  43. A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. (1998). Husain, Fazal.
    In: MPRA Paper.
    RePEc:pra:mprapa:5032.

    Full description at Econpapers || Download paper

  44. Seasonality in Canadian treasury bond returns: An institutional explanation. (1998). Athanassakos, George ; Tian, Yisong Sam .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:7:y:1998:i:1:p:65-86.

    Full description at Econpapers || Download paper

  45. A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F.. (1998). Kunkel, Robert A. ; Compton, William S..
    In: Financial Services Review.
    RePEc:eee:finser:v:7:y:1998:i:1:p:11-23.

    Full description at Econpapers || Download paper

  46. On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market. (1997). Griffiths, Mark ; Winters, Drew.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:12:y:1997:i:1:p:21-38.

    Full description at Econpapers || Download paper

  47. The congressional calendar and stock market performance. (1997). Pace, Daniel R. ; Kennedy, William F. ; Lamb, Reinhold P. ; Ma, K. C..
    In: Financial Services Review.
    RePEc:eee:finser:v:6:y:1997:i:1:p:19-25.

    Full description at Econpapers || Download paper

  48. Real vs. nominal stock return seasonalities: empirical evidence. (1995). Lauterbach, Beni ; Ungar, Meyer.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:4:y:1995:i:2:p:133-147.

    Full description at Econpapers || Download paper

  49. Currency futures and the turn-of-month effect. (1995). Liano, Kartono ; Kelly, Wayne G..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:6:y:1995:i:1:p:1-7.

    Full description at Econpapers || Download paper

  50. Commission-motivated trading patterns of brokers across the production month. (1995). Benson, Earl ; Rystrom, David S. ; Smersh, Greg T..
    In: Financial Services Review.
    RePEc:eee:finser:v:4:y:1995:i:2:p:81-95.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 09:30:00 || 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.