메뉴 건너뛰기




Volumn 10, Issue 3, 2000, Pages 235-242

Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0010813183     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031000331653     Document Type: Article
Times cited : (90)

References (31)
  • 1
    • 84987588059 scopus 로고
    • Seasonal and day of the week effects in four emerging stock markets
    • Aggarwal, R. and Rivoli, P. (1989) Seasonal and day of the week effects in four emerging stock markets, The Financial Review, 24, 541-50.
    • (1989) The Financial Review , vol.24 , pp. 541-550
    • Aggarwal, R.1    Rivoli, P.2
  • 2
    • 0001913449 scopus 로고    scopus 로고
    • Anomalies or illusions? Evidence from stock markets in eighteen countries
    • Agrawal, A. and Tandon, K. (1998) Anomalies or illusions? Evidence from stock markets in eighteen countries, Journal of International Money and Finance, 13, 83-106.
    • (1998) Journal of International Money and Finance , vol.13 , pp. 83-106
    • Agrawal, A.1    Tandon, K.2
  • 3
    • 0001324495 scopus 로고
    • Private information, trading volume, and stock return variances
    • Barclay, M., Litzenberger, R. and Warner, J. (1990) Private information, trading volume, and stock return variances, Review of Financial Studies, 3, 233-53.
    • (1990) Review of Financial Studies , vol.3 , pp. 233-253
    • Barclay, M.1    Litzenberger, R.2    Warner, J.3
  • 4
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 5
    • 0000375581 scopus 로고
    • A conditional heteroscedastic time series model for speculative prices and rates of return
    • Bollerslev, T. (1987) A conditional heteroscedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542-7.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 6
    • 84981376905 scopus 로고
    • 'On the correlation structure for the generalized autoregressive conditional heteroscedastic process
    • Bollerslev, T. (1988) 'On the correlation structure for the generalized autoregressive conditional heteroscedastic process, Journal of Time Series Analysis, 9, 121-31.
    • (1988) Journal of Time Series Analysis , vol.9 , pp. 121-131
    • Bollerslev, T.1
  • 8
    • 0039677004 scopus 로고    scopus 로고
    • Introduction
    • E. Dimson (ed.) Cambridge University Press, Cambridge
    • Bowers, J. and Dimson, E. (1998) Introduction, in: E. Dimson (ed.) Stock Market Anomalies, pp. 3-15, Cambridge University Press, Cambridge.
    • (1998) Stock Market Anomalies , pp. 3-15
    • Bowers, J.1    Dimson, E.2
  • 11
    • 38249014282 scopus 로고
    • A contribution to event study methodology with an application to the Dutch stock market
    • de Jong, F., Kemma, A. and Kloek, T. (1992) A contribution to event study methodology with an application to the Dutch stock market, Journal of Banking and Finance, 16, 11-36.
    • (1992) Journal of Banking and Finance , vol.16 , pp. 11-36
    • De Jong, F.1    Kemma, A.2    Kloek, T.3
  • 12
    • 0002528209 scopus 로고
    • The behaviour of stock market prices
    • Fama, E. (1965) The behaviour of stock market prices, Journal of Business, 38, 34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 14
    • 0002021110 scopus 로고
    • Stock market efficiency: An autopsy
    • April/March 1
    • Fortune, P. (1991) Stock market efficiency: an autopsy, New England Economic Review, April/March 1, 17-40.
    • (1991) New England Economic Review , pp. 17-40
    • Fortune, P.1
  • 15
    • 0000763880 scopus 로고
    • A theory of interday variations in volumes, variance, and trading costs in securities markets
    • Foster, D. and Viswanathan, S. (1990) A theory of interday variations in volumes, variance, and trading costs in securities markets, Review of Financial Studies, 3, 593-624.
    • (1990) Review of Financial Studies , vol.3 , pp. 593-624
    • Foster, D.1    Viswanathan, S.2
  • 16
    • 49149143225 scopus 로고
    • Stock returns and the weekend effect
    • French, K. (1980) Stock returns and the weekend effect, Journal of Financial Economics, 8, 55-69.
    • (1980) Journal of Financial Economics , vol.8 , pp. 55-69
    • French, K.1
  • 17
    • 0039084784 scopus 로고
    • Stock return variances: The arrival of information and the reaction of traders
    • French, K. and Roll, R. (1986) Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
    • (1986) Journal of Financial Economics , vol.17 , pp. 5-26
    • French, K.1    Roll, R.2
  • 18
    • 0000334056 scopus 로고
    • Day of the week effects and asset returns
    • Gibbons, M. and Hess, P. (1981) Day of the week effects and asset returns, Journal of Business, 54, 579-96.
    • (1981) Journal of Business , vol.54 , pp. 579-596
    • Gibbons, M.1    Hess, P.2
  • 19
    • 84977315716 scopus 로고
    • The random walk hypothesis of stock market behaviour
    • Godfrey, M., Granger, C. and Morgenstern, O. (1964) The random walk hypothesis of stock market behaviour, Kyklos, 17, 1-17.
    • (1964) Kyklos , vol.17 , pp. 1-17
    • Godfrey, M.1    Granger, C.2    Morgenstern, O.3
  • 20
    • 0003101292 scopus 로고
    • Seasonal pattern in volatility in Asian stock markets
    • Ho, R. and Cheung, Y. (1994) Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-7.
    • (1994) Applied Financial Economics , vol.4 , pp. 61-67
    • Ho, R.1    Cheung, Y.2
  • 22
    • 84952520952 scopus 로고
    • Modeling heteroskedasticity in daily foreign exchange rates
    • Hsieh, D. (1989) Modeling heteroskedasticity in daily foreign exchange rates, Journal of Business and Economic Statistics, 7, 307-17.
    • (1989) Journal of Business and Economic Statistics , vol.7 , pp. 307-317
    • Hsieh, D.1
  • 23
    • 80051899787 scopus 로고
    • The week-end effect in common stock returns: The international evidence
    • Jaffe, J. and Westerfield, R. (1985) The week-end effect in common stock returns: the international evidence, Journal of Finance, 40, 237-44.
    • (1985) Journal of Finance , vol.40 , pp. 237-244
    • Jaffe, J.1    Westerfield, R.2
  • 24
    • 84944835445 scopus 로고
    • A further investigation of the weekend effect in stock returns
    • Keim, D. and Stambaugh, R. (1984) A further investigation of the weekend effect in stock returns, Journal of Finance, 39, 819-35.
    • (1984) Journal of Finance , vol.39 , pp. 819-835
    • Keim, D.1    Stambaugh, R.2
  • 25
    • 1342343771 scopus 로고
    • Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points
    • Keim, D. (1989) Trading patterns, bid-ask spreads, and estimated security returns: the case of common stocks at calendar turning points, Journal of Financial Economics, 25, 75-97.
    • (1989) Journal of Financial Economics , vol.25 , pp. 75-97
    • Keim, D.1
  • 26
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, A. (1985) Continuous auctions and insider trading, Econometrica, 53, 1315-35.
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.1
  • 28
    • 0000277728 scopus 로고
    • Are seasonal anomalies real? A ninety year perspective
    • Lakonishok, J. and Smidt, S. (1988) Are seasonal anomalies real? A ninety year perspective, The Review of Financial Studies, 1, 403-25.
    • (1988) The Review of Financial Studies , vol.1 , pp. 403-425
    • Lakonishok, J.1    Smidt, S.2
  • 29
    • 0001504360 scopus 로고
    • The variance of certain speculative prices
    • Mandlebrot, B. (1963) The variance of certain speculative prices, Journal of Business, 36, 394-419.
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandlebrot, B.1
  • 30
    • 0002832996 scopus 로고
    • Calendar effects in the London Stock Exchange FT-SE indices
    • Mills, T. and Coutts, J. (1995) Calendar effects in the London Stock Exchange FT-SE indices, European Journal of Finance, 1, 79-93.
    • (1995) European Journal of Finance , vol.1 , pp. 79-93
    • Mills, T.1    Coutts, J.2
  • 31
    • 84944830455 scopus 로고
    • New findings regarding day of the week returns over trading and non-trading periods: A note
    • Rogalski, R. (1984) New findings regarding day of the week returns over trading and non-trading periods: a note, Journal of Finance, 39, 1603-14.
    • (1984) Journal of Finance , vol.39 , pp. 1603-1614
    • Rogalski, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.