National Changhua University of Education Institutional Repository : Item 987654321/8685
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题名: THE DAY-OF-THE-WEEK EFFECT AMONG INDUSTRIESEVIDENCE FROM TAIWAN
作者: Che-peng Lin;Chih-Cheng Yeh
贡献者: 企業管理學系
关键词: day-of-the-week effect;market efficiency;financial services;Taiwan
日期: 2011-03-28
上传时间: 2011-04-01T08:11:07Z
出版者: 彰化師範大學
摘要: 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.
關聯: Review of Global Management and Service Science 1:45-50 2011
显示于类别:[全球管理暨服務科學評論] 第一卷

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