Detail Day of The Week Effect in International Portfolio Diversification : January vs Non-January   Oleh:  Tang, G. Y. N. ; Kwok, K-h. Jenis: Article from Bulletin/Magazine Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 9 no. 3 (1997), page 335-352. Topik: diversification; week effect; international diversification Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.7 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This paper examines the day - of - the - week effect in international portfolio diversification and compares the results between January and non - January months. Using daily data of six stock indices, empirical results support that a day - of - the - week effect exists, not only in the mean return and variance, but also in correlations between stock markets. On Monday, the average correlation is largest with a negative mean return and the largest volatility. A Rogalski effect exists on mean return and on volatility, respectively, in two and four markets. However, the effect disappears in diversified portfolios suggesting that the effect is market-specific and diversifiable. The seasonal pattern on correlations between stock markets differs across January and non-January months with the average correlation largest on Thursday and Monday, respectively. Our results provide new empirical evidence on the day - of - the - week effect on international stock returns. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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