Seasonality and cultural influences on four Asian stock markets

Asia Pacific Journal of Management

Volumn 13, Issue 2, 1996, Pages 1-24

  Chan, M W L ^a   Khanthavit, Anya ^b   Thomas, Hugh ^a  

^a MCMASTER UNIVERSITY   (Canada)

^b THAMMASAT UNIVERSITY   (Thailand)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0006150218     PISSN: 02174561     EISSN: 15729958     Source Type: Journal    
DOI: 10.1007/BF01733814     Document Type: Article

References (25)

1. Agrawal, A and Tandon, K, 1994, Anomalies or illusions? Evidence from stock markets in eighteen countries, Journal of International Money and Finance, 14, 83-106.
2. Ariel, R A, 1990, High stock returns before holidays: Existence and evidence on possible causes, The Journal of Finance, 45, 1611-26.
3. Bailey, Warren and Jagtiani, Julapa, 1994, Foreign ownership restrictions and stock prices in the Thai capital market, Journal of Financial Economics, 36, 57-87.
4. Berges, Angel, McConnell, John J and Schlarbaum, Gary, 1984, The-turn-of-the-year in Canada, The Journal of Finance, 39, 185-92.
5. Branch, B, 1977, A tax selling loss trading rule, Journal of Business, 50, 198-207.
6. Cadsby, C B and Ratner, M, 1992, Turn-of-month and pre-holiday effects in stock returns, Journal of Banking and Finance, 16, 497-509.
7. Fields, M J, 1931, Stock prices: A problem in verification, Journal of Business, 4, 415-18.
8. Fields, M J, 1934, Security prices and stock exchange holidays in relation to short selling, Journal of Business, 7, 328-38.
9. French, K, 1980, Stock returns and the weekend effect, Journal of Financial Economics, 8, 55-69.
10. Gultekin, M N and Gultekin, N B, 1983, Stock market seasonality: International evidence, Journal of Financial Economics, 12, 469-81.
11. Jaffe, Jeffrey and Westerland, Randolph, 1985, Patterns in Japanese common stock returns: Day-of-the-week and turn of the year effects, Journal of Financial and Quantitative Analysis, 20, 261-72.
12. Jegadeesh, Narasimhan, 1991, Seasonality in stock market price reversion: Evidence from the US and the UK, The Journal of Finance, 46, 1427-44.
13. Kato, K and Schallheim, James S, 1985, Seasonal and size anomalies in the Japanese stock market, Journal of Financial and Quantitative Analysis, 20, 243-60.
14. Keim, D B, 1983, Size related anomalies and stock market seasonality: Further empirical evidence, Journal of Financial Economics, 12, 13-32.
15. Keim, D B and Smirlock, Michael, 1987, The behaviour of intraday stock index futures, Prices Advances in Operations Research, 2, 143-66.
16. Kelly, A, Dresser, P and Ross, Linda, 1993, Religious Holidays and Calendars: An encyclopedic handbook, Detroit, Omnigraphics.
17. Lee, Cheng Few, Gili Yen and Chingfu Chang, 1992, The Chinese New Year, Common Stock Purchasing and Cumulative Raw Returns: Is Taiwan's Stock Market Informationally Efficient? in Klaus Fischer and Papaioannou, George, ed, Business Finance in Less Developed Capital Markets, Westport, Greenwood Press, 101-5.
18. Lee, Cheng Few, Gili Yen and Chingfu Chang, 1993, Informational efficiency of capital markets revisited: Anomalous evidence from a refined test, Advances in Quantitative Analysis of Finance and Accounting, 2: A, 669-90.
19. Parise, Frank, 1982, The Book of Calendars, New York, Facts Onfile.
20. Reinganum, M R, 1983, The Anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects, Journal of Financial Economics, 12, 89-104.
21. Stoll, H R and Whaley, Robert, 1983, Transactions costs and the small firm effect, Journal of Financial Economics, 12, 57-79.
22. Tong, Wildon H S, 1992, An analysis of the January effect of the United States, Taiwan and South Korean stock returns, Asia Pacific Journal of Management, 9, 189-207.
23. Wachtel, S B, 1942, Certain observations on seasonal movements in stock prices, Journal of Business, 15, 184-93.
24. Wong, P L, Neoh, S K, Lee, K H and Thong, T S, 1990, Seasonality in the Malaysian stock market, Asia Pacific Journal of Management, 7, 43-62.
25. Yen and Shyy, 1993, Chinese New Year effect in Asian stock markets, Taiwan National University Management Journal, 4:1, 417-36.