Day-of-the-week effect in the Taiwan foreign exchange market

Ke, Mei-Chu; Chiang, Yi-Chein; Liao, Tung Liang

doi:10.1016/j.jbankfin.2007.03.005

Cited by 39 publications

(18 citation statements)

References 25 publications

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“…In Hong Kong market we found significant negative Day-of-the-week effect for Wednesday in both types of returns but negative effect of Tuesday is statistically significant in ordinary returns only, inconsistent with previous literature [12]. In Taiwan market we establish significant positive Day-of-the-week effect for Wednesday [13]. In Chinese market, for intraday returns Hong Kong and Taiwan is showing positive significant effect with no effect of international spillover but in ordinary returns only Hong Kong is showing positive significant effect and negative effect of global spillover in Chinese market.…”

Section: =1contrasting

confidence: 97%

Holiday Effect of East Asian Markets Reciprocally

Bashir¹,

Zeb²

2015

JOEBM

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Section: =1contrasting

confidence: 97%

Holiday Effect of East Asian Markets Reciprocally

Bashir¹,

Zeb²

2015

JOEBM

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“…The original observations of 300 firms were matched with firm-level data from the Taiwan Economic Journal, which annually compiles a list of firms' financial reports. These lists are well received in the professional economic and financial communities and various indexes of these surveys have been used to support numerous research projects (Chen and Huang, 2006;Chu et al, 2006;Hsieh, Kim and Yang, 2009;Ke, Chiang and Liao, 2007;Liu, Tseng and Yen, 2009;Peng and Fang, 2010). However, many firms did not report the type of information we require in this study, and those with firm-level information missing from the database were eliminated from the sample.…”

Section: Data and Samplementioning

confidence: 99%

Clarifying the Effect of Intellectual Capital on Performance: The Mediating Role of Dynamic Capability

Hsu

Wang

2010

British J of Management

389

341

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Recent studies suggest a potential relationship between intellectual capital and dynamic capability in achieving performance. This is unsettling for managers because these studies contain little effort to develop a framework for understanding the relationship. To examine this unnerving potential, we develop and test a theoretical model that explains how dynamic capability mediates the impact of intellectual capital on performance. In this study, the scope of intellectual capital includes human capital, relational capital and structural capital. This study examines the pooled data of 242 high-technology firms from 2001 to 2008. Results from Bayesian regression analysis suggest that the effect of structural capital on performance is completely mediated by dynamic capability. Furthermore, the findings show that dynamic capability does not completely mediate the respective effects of human capital and relational capital on performance, but does so only partially. These results provide convincing support for the importance of dynamic capability through accumulating R&D and marketing capability over time, thereby enhancing firm performance. The empirical findings and the ensuing discussion will be of interest to managers and practitioners.

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“…where i is an index of firms and m,t is the continuously compounded daily BIST on day t. We include dummy variables for each day of the week to control for the day of the week effect Ke et al 2007;Aydogan and Booth, 2003). W t = {W 1t , W 2t , W 3t , W 4t } are dummy variables for the days of the week: Monday, Tuesday, Wednesday, and Thursday, respectively.…”

Section: Edmans Et Al (2007) Approachmentioning

confidence: 99%

Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

Fung

Demir

Lau

et al. 2015

Journal of International Financial Markets, Institutions and Mo

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This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sportssentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms, and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the 'overreaction' hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.

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Day-of-the-week effect in the Taiwan foreign exchange market

Cited by 39 publications

References 25 publications

Holiday Effect of East Asian Markets Reciprocally

Holiday Effect of East Asian Markets Reciprocally

Clarifying the Effect of Intellectual Capital on Performance: The Mediating Role of Dynamic Capability

Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

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