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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

References

  • French , K. R. 1980 . Stock returns and the weekend effect . Journal of Financial Economics , 8 : 55 – 69 .
  • Gibbons , M. R. and Hess , P. J. 1981 . Day of the week effects and asset returns . Journal of Business , 54 : 579 – 596 .
  • Jaffe , J. R. and Westerfield , R. 1985 . The weekend effect in common stock returns: the international evidence . Journal of Finance , 40 : 432 – 454 .
  • Jensen , M. C. 1978 . Some anomalous evidence regarding market efficiency . Journal of Financial Economics , 6 : 95 – 101 .
  • Keim , D. B. and Stambaugh , R. F. 1984 . A further investigation of the weekend effect in stock returns . Journal of Finance , 39 : 819 – 840 .
  • Newey , W. K. and West , K. D. 1987 . A simple, positive semidefinite heteroscedasticity and autocorrelation-consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • Penman , S. H. 1987 . The distribution of earnings news over time and seasonalitlites in aggregate stock returns . Journal of Financial Economics , 18 : 199 – 228 .
  • White , H. 1980 . A heteroscedasticity-consitentcovariance matrix estimator and a direct test for heteroscedasticity . Econometrica , 48 : 817 – 838 .

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