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|Title:||Day-of-the-week effects in US and Asia-Pacific stock markets during the Asian financial crisis: A non-parametric approach||Authors:||Hui, T.-K.||Keywords:||Kruskal-Wallis test
|Issue Date:||2005||Citation:||Hui, T.-K. (2005). Day-of-the-week effects in US and Asia-Pacific stock markets during the Asian financial crisis: A non-parametric approach. Omega 33 (3) : 277-282. ScholarBank@NUS Repository. https://doi.org/10.1016/j.omega.2004.05.005||Abstract:||This paper is devoted to extending the determination of day-of-the-week effect existing in a sample of Asia-Pacific markets such as Hong Kong, Korea, Singapore and Taiwan. At the same time, we also like to test for the presence of weekend effects in developed markets of the US and Japan. In view of recent studies regarding the disappearing day-of-the-week effect for US firms, we will focus our attention on the recent years to better track the presence of weekend effects during and after the Asian financial crisis in 1997 and the recent collapse of the blue chip stocks in the United States. The results reveal that there exists no evidence of the day-of-the-week effect in all countries except Singapore. For Singapore, it is low returns on Monday and Tuesday and high returns on Wednesday to Friday. © 2004 Elsevier Ltd. All rights reserved.||Source Title:||Omega||URI:||http://scholarbank.nus.edu.sg/handle/10635/43979||ISSN:||03050483||DOI:||10.1016/j.omega.2004.05.005|
|Appears in Collections:||Staff Publications|
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