Seasonal and day of the week effect in four emerging stock markets
Day-of-the-week effects: evidence from developing stock markets: Applied Financial Economics: Vol 2, No 1
An extension of the research on the day-of-the-week effect to the stock markets of Singapore, Malaysia, Hong Kong, Thailand and Taiwan is presented. These small-sized markets are still much neglected. We find that there is a day-of-the-week effect in all these markets except Taiwan. These four markets have negative mean returns on Monday or Tuesday and high positive returns on Friday. Further analysis with four subperiods of data reveals that the weekly seasonal patterns appear to be period specific.
The US stock market has little contribution to the day-of-the-week effect in these four markets. Thin trading does not seem to have a significant impact on the day-of-the-week effect in the Singapore market.
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