Ndu, Chiaku Chukwuogor (2006) Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets. The International Journal of Banking and Finance (3-4(S)). pp. 153-164. ISSN 1617-722

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Abstract

The presence of the day-of-the-week effect has been documented in finance literature. This paper investigates the presence of the day-of-the-week effect and return volatility in ten East-Asian financial markets in the post Asian financial crisis period, after 1998. A set of parametric and non-parametric tests is used to test the equality of mean returns and standard deviations of returns. The results indicate the presence of the day-of-the-week effect and insignificant daily returns volatility in most markets. Some of these results reinforce some previously documented evidence and others are at variance with published results for the same markets. This effect, unlike in devloped markets, is still persistent.

Item Type:	Article
Uncontrolled Keywords:	returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness.
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	31 Oct 2018 01:21
Last Modified:	31 Oct 2018 01:21
URI:	https://repo.uum.edu.my/id/eprint/25102

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