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Applied Economics Letters Volume 8, 2001 - Issue 3
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Original Articles

Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

Chris Brooks
&
Gita Persand
Pages 155-158 | Published online: 06 Oct 2010

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Abdullah M. AlAwadhi. (2021) The Effect of Religiosity on Stock Market Speculation. Emerging Markets Finance and Trade 57:3, pages 839-858.
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Abdelkader Derbali & Slaheddine Hallara. (2016) Day-of-the-week effect on the Tunisian stock market return and volatility. Cogent Business & Management 3:1.
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Hing Lin Chan & Kai-Yin Woo. (2012) Day-of-the-week effect on the return and conditional variance of the H-shares index in Hong Kong. Applied Economics Letters 19:3, pages 243-249.
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Rima Turk Ariss, Rasoul Rezvanian & Seyed M. Mehdian. (2012) WTO membership, ownership deregulation, and market efficiency: evidence from China. Applied Financial Economics 22:3, pages 177-195.
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D Mbululu & C Chipeta. (2012) Day-of-the-week effect: Evidence from the nine economic sectors of the JSE. Investment Analysts Journal 41:75, pages 55-65.
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Kenneth Högholm, Johan Knif & Seppo Pynnönen. (2011) Cross-distributional robustness of conditional weekday effects: evidence from European equity-index returns. The European Journal of Finance 17:5-6, pages 377-390.
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Kenneth Högholm, Johan Knif & Seppo Pynnönen. (2011) Common and local asymmetry and day-of-the-week effects among EU equity markets. Quantitative Finance 11:2, pages 219-227.
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Cristina Ortiz, Gloria Ramírez & Luis Vicente. (2010) Quarterly return patterns in the Spanish stock market. Applied Financial Economics 20:23, pages 1829-1838.
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Shiok Ye Lim, Chong Mun Ho & Brian Dollery. (2010) An empirical analysis of calendar anomalies in the Malaysian stock market. Applied Financial Economics 20:3, pages 255-264.
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Paul Alagidede. (2008) Day of the week seasonality in African stock markets. Applied Financial Economics Letters 4:2, pages 115-120.
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Syed A. Basher & Perry Sadorsky. (2006) Day-of-the-week effects in emerging stock markets. Applied Economics Letters 13:10, pages 621-628.
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Rodolfo Q. Aquino. (2006) Efficiency of the Philippine stock market. Applied Economics Letters 13:7, pages 463-470.
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남상민 & Sang Nam Min. (2006) 소매유통시장에서의 이상현상에 관한 연구: 의류소매점 매출의 요일효과를 중심으로. Journal of Global Academy of Marketing Science 16:1, pages 117-141.
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G. Kohers, N. Kohers, V. Pandey & T. Kohers. (2004) The disappearing day-of-the-week effect in the world's largest equity markets. Applied Economics Letters 11:3, pages 167-171.
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Faheem Aslam, Ahmed Imran Hunjra, Tahar Tayachi, Peter Verhoeven & Yasir Tariq Mohmand. (2022) Calendar Anomalies in Islamic Frontier Markets. SAGE Open 12:2, pages 215824402210978.
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VENUS KHIM-SEN LIEW, RICKY CHEE-JIUN CHIA, SAMINA RIAZ & EVAN LAU. (2022) IS THERE ANY DAY-OF-THE-WEEK EFFECT AMID THE COVID-19 PANIC IN THE MALAYSIAN STOCK MARKET?. The Singapore Economic Review, pages 1-19.
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Monika Bolek, Agata Gniadkowska-Szymańska & Katerina Lyroudi. (2022) Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets. Central European Economic Journal 9:56, pages 158-177.
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Imhotep Paul Alagidede, Gideon Boako & Bo Sjo. (2020) African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification. Journal of Economics and Finance 45:2, pages 288-315.
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Chris Brooks. 2019. Introductory Econometrics for Finance. Introductory Econometrics for Finance.
Gideon Boako & Paul Alagidede. (2018) African stock markets in the midst of the global financial crisis: Recoupling or decoupling?. Research in International Business and Finance 46, pages 166-180.
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Vladimir Filipovski & Dragan Tevdovski. 2018. Regaining Global Stability After the Financial Crisis. Regaining Global Stability After the Financial Crisis 214 237 .
Shlomo Zilca. (2017) Day-of-the-week returns and mood: an exterior template approach. Financial Innovation 3:1.
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Mostafa Seif, Paul Docherty & Abul Shamsuddin. (2017) Seasonal anomalies in advanced emerging stock markets. The Quarterly Review of Economics and Finance 66, pages 169-181.
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Sabri Boubaker, Naceur Essaddam, Duc Khuong Nguyen & Samir Saadi. (2017) On the robustness of week-day effect to error distributional assumption: International evidence. Journal of International Financial Markets, Institutions and Money 47, pages 114-130.
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Christoph S. Weber & Philipp Nickol. (2016) More on Calendar Effects on Islamic Stock Markets. Review of Middle East Economics and Finance 12:1.
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Osabuohien-Irabor Osarumwense. (2015) Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?. European Financial and Accounting Journal 10:4, pages 33-44.
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Murat Çinko, Emin Avci, Aslı Aybars & Mehtap Öner. (2014) Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges. International Journal of Corporate Finance and Accounting 1:2, pages 33-43.
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Elena Valentina Ţilică & Dragoş Oprea. (2014) Seasonality in the Romanian Stock Market: The-day-of-the-Week Effect. Procedia Economics and Finance 15, pages 704-710.
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Taufeeque Ahmad Siddiqui & Isha Narula. (2013) Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY. Vision: The Journal of Business Perspective 17:3, pages 233-245.
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Luis A. Gil-Alana, Juncal Cunado & Fernando Perez de Gracia. (2013) Salient features of dependence in daily US stock market indices. Physica A: Statistical Mechanics and its Applications 392:15, pages 3198-3212.
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Werner Kristjanpoller Rodríguez. (2013) Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos. Contaduría y Administración 58:1, pages 37-62.
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Sathya Swaroop Debasish. (2012) STOCK PRICE SEASONALITY EFFECT AND TRADING STRATEGY – AN EMPIRICAL STUDY OF SELECTED IT COMPANIES IN INDIA. Business, Management and Education 10:2, pages 264-288.
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Virgilijus Sakalauskas & Dalia Kriksciuniene. (2012) Evaluation the day-of-the-week effect using long range dependence measures. Evaluation the day-of-the-week effect using long range dependence measures.
Ruchika Gahlot & Saroj Kumar Datta. (2012) Impact of future trading on stock market: a study of BRIC countries. Studies in Economics and Finance 29:2, pages 118-132.
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Josep García Blandón. 2011. The Impact of the Global Financial Crisis on Emerging Financial Markets. The Impact of the Global Financial Crisis on Emerging Financial Markets 405 422 .
Stephen P. Keef, Mohammed Khaled & Hui Zhu. (2009) The dynamics of the Monday effect in international stock indices. International Review of Financial Analysis 18:3, pages 125-133.
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Hooi Hooi Lean, Russell Smyth & Wing-Keung Wong. (2007) Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach. Journal of Multinational Financial Management 17:2, pages 125-141.
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Virgilijus Sakalauskas & Dalia Kriksciuniene. 2007. Progress in Artificial Intelligence. Progress in Artificial Intelligence 371 382 .
Jason D. Mitchell & Li L. Ong. (2006) Seasonalities in China's Stock Markets: Cultural or Structural?. IMF Working Papers 06:4, pages 1.
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Sebastian Krause, Jonas Fiegen & Thomas Guhr. (2018) Emergence of Stylized Facts During the Opening of Stock Markets. SSRN Electronic Journal.
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Shlomo Zilca. (2017) Day-of-The-Week Returns and Mood: An Exterior Template Approach. SSRN Electronic Journal.
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Israel J S Felipe & Anderson Luiz Mol. (2014) Volatilidade Dos ndices De AAAes Mid-Large Cap E Small Cap: Uma Investigaaao A Partir De Modelos ARIMA/GARCH (Volatility of Stock Index Mid-Large Cap and Small Cap: An Investigation from ARIMA/GARCH Models). SSRN Electronic Journal.
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Guglielmo Maria Caporale & Luis A. Gil-Alana. (2013) Long Memory in the Ukrainian Stock Market. SSRN Electronic Journal.
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Jay Desai & Arti Trivedi. (2012) A Study of Day of the Month Effect in S&P CNX Nifty 50. SSRN Electronic Journal.
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Jay Desai & Arti Trivedi. (2012) A Survey of Day of the Month Effect in World Stock Markets. SSRN Electronic Journal.
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Nick Kourkoumelis & Nikolaos L. Hourvouliades. (2010) New Evidence for the Day-of-the-Week Effect in the Financial Crisis. SSRN Electronic Journal.
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Hon-Chung Hui. (2009) Transmission Channels Linking Real Estate Shocks with Macroeconomic Performance: Evidence from Malaysia. SSRN Electronic Journal.
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