English, Article, Journal or magazine article edition: Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach Lean Hooi Hooi; Wong Wing Keung; Russell Smyth

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/16393
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach
Author
  • Lean Hooi Hooi
  • Wong Wing Keung
  • Russell Smyth
Physical Description
  • preprint
Notes
  • RePEc:mos:moswps:2005-16
  • Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance criterion or CAPM statistics, which rely on the normality assumption and depend only on the first two moments, to test for calendar effects. A limitation of these approaches is that they miss much important information contained in the data such as higher moments. In this paper, we use the Davidson and Duclos (2000) test, which is a powerful non-parametric stochastic dominance (SD) test, to test for the existence of day-of-the-week and January effects for several Asian markets using daily data for the period from 1988 to 2002. Our empirical results support the existence of weekday and monthly seasonality effects in some Asian markets but suggest that first order SD for the January effect has largely disappeared.
  • Stochastic dominance, Calendar anomalies, Asian markets.
  • RePEc:msh:moswps:2005-16
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment