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Day-of-the-week effects in emerging stock markets

Author

Listed:
  • Syed A. Basher

    (York University)

  • Perry Sadorsky

    (York University)

Abstract
This paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. Other countries like Argentina, Malaysia, Thailand, and Turkey exhibit day-of-the-week effects in only some of the models.

Suggested Citation

  • Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance 0407017, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0407017
    Note: Type of Document - pdf; pages: 14
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0407/0407017.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Emerging markets; market risk;

    JEL classification:

    • G - Financial Economics

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