The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. Copyright Springer Science + Business Media, LLC 2006Day-of-the-week effect, Conditional correlation, Asia-Pacific markets,

The correlation structure amongst selected Asia-Pacific equity markets is examined using the Constant Correlation multivariate GARCH (CC-MGARCH) model, the Dynamic Conditional Correlation multivariate GARCH (DCC-MGARCH) model, and an Exponentially-Weighted Moving Average (EWMA) correlation measure. The markets of Australia, Hong Kong, Japan and Singapore are analyzed from 1990 to 2001 and dynamic nature of the correlation is captured and explained. We find that global as well as regional factors contribute to the correlation spikes. Extreme volatility does not necessarily result in extreme correlations between some markets and there is higher comovement between markets since the Asian financial crisis. We also find that despite common periods of high volatility, there is still economic justification for diversification within this region.

This paper analyses bank relative riskiness by testing the sensitivity of AsiaPacific banks to overall market risk, global credit risk shocks, interest rate risk shocks and maturity risk shocks. The banks' risk profiles are categorised according to their capitalisation levels and functional degree of diversification. Our results indicate that highly capitalised banks yield higher average stock returns whilst functionally diversified banks have less volatile returns. Generally, banks that adopt capital adequacy guidelines and hold higher capital levels have greater protection from these risks. Functionally diversified banks are also more strongly positioned against system-wide shocks to the banking sector.JEL classification: F34, G12, G21