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
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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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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
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