Seasonality in the Asia Pacific stock markets

Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen

“…Zwergel (2010) shows that profitable trading strategies in futures can be developed from knowledge of 'turn-of-themonth' effects. 3 For early and recent examinations of day-of-the-week effects in Hong Kong, see Ho (1990) and Yakob et al (2005). For Shanghai and Shenzhen, see Ogunc et al (2009).…”

Volatility transmission across currencies and stock markets: GIIPS in crisis

“…Most recently, this stream of research was extended by Weber (2010), incorporating the money market in the nexus of interrelated asset markets; employing an EGARCH setup in the study of Asian Pacific countries for the post-crisis period, he produced evidence of (pairwise) bidirectional, cross-country causality in all three markets and derived practical implications for monetary policy in the context of economic stabilization. Postcrisis evidence of bidirectional causality between stock and foreign exchange markets in Asian economiesand hence support for the stock-oriented narrativeimplies the effect of international portfolio diversification in international asset markets; evidence of portfolio diversification practices is consistent with the assumption of market efficiency and, in the post-crisis era, there has been evidence that Asian stock markets have become more efficient (Yakob et al, 2005).…”

Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence

“…Thus, Caporale et al, propose that Ukrainian capital market is inefficient. Yakob, Beal, & Delpachitra, (2005) test the seasonal effect in a group of Asia-Pacific countries i.e., holiday anomaly, monthly anomaly, month-of-the-year anomaly, and day-of-the-week effects. The authors find different calendar patterns in different markets.…”

“…The authors breaking the CRSP firms into decile The share exchange seasonality or day-of-the-week anomaly still catches the interest of researchers owing to the generation of abnormal or significant returns during certain time periods. The study by Yakob et al (2005) is carried out to test holiday, monthly, month-of-the year, and day-of-the week effects in select countries of Asia Pacific. Since the major focus of current study is on the Weekend Effect; thus only the day-of-the-week anomaly is looked at.…”