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AN EMPIRICAL EXAMINATION OF THE TRENDS OF THE ASIA PACIFIC FINANCIAL MARKETS IN THE LAST DECADE

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ABSTRACT

 

Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness

 

JEL Codes: G14, G15

 

  1. INTRODUCTION

  2. LITERATURE REVIEW

  3. DATA AND METHODOLOGY

  4. EMPIRICAL RESULTS

  1. Daily Returns Analysis

  2. The day-of-the-week effect

Table 2

 Mean Daily Return of the APFM for the period January2nd, 1997 to December 31st, 2004

Name of Country/Index

 Monday

Tuesday

Wednesday

Thursday

Friday

 

 

 

 

 

 

 

  1. Annual Returns Analysis

  2. Homoskedasticity

  1. CONCLUSION

 

REFERENCES

 

  1. Aggarwal, R & Rivoli, P. (1989) Seasonal day-of-the week effects in four emerging stock markets, The Financial Review, 24, 541-50
     

  2. Cross, F.  (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst  Journal, 29, pp. 67-69. 
     

  3. Snedecor, G. W. and Cochran, W.G. (1976) Statistical Methods. Ames: Iowa State University Press

 

           

APPENDIX

 

 

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