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NCUEIR > Publication > Review of Global Management and Service Science > 第一卷 > Item 987654321/8685

Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/8685

Title:	THE DAY-OF-THE-WEEK EFFECT AMONG INDUSTRIESEVIDENCE FROM TAIWAN
Authors:	Che-peng Lin;Chih-Cheng Yeh
Contributors:	企業管理學系
Keywords:	day-of-the-week effect;market efficiency;financial services;Taiwan
Date:	2011-03-28
Issue Date:	2011-04-01T08:11:07Z
Publisher:	彰化師範大學
Abstract:	Previous literature points out that industrial structure plays an important role in describing the stock price behavior. After classifying various industry groups, this study examines the day-of-the-week effect in an emerging market,Taiwan. Methodologies include ARCH/GARCH type corrections and Bayesian-t large sample size adjustments. After appropriate corrections were applied, the day-of-the-week effect became insignificant on the aggregate market basis.However, it was found that the day-of-the-week effect remains statistically significant in some industry groups. The evidence observed from this study indicates that industry classification is an important factor to be considered for the calendar anomaly issues. The case of Taiwan strongly suggests that the previously documented day-of-the-week effect in the US and other countries should be further inquired into the basis of industry classification. Financial managers who invest based on calendar anomaly strategies are suggested to pay more attention to industry classifications when they provide financial services to market investors.
Relation:	Review of Global Management and Service Science 1:45-50 2011
Appears in Collections:	[Review of Global Management and Service Science] 第一卷

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