The day-of-the-week effect in conditional correlation

The day-of-the-week effect in conditional correlation The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The day-of-the-week effect in conditional correlation

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Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer Science + Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-006-9433-8
Publisher site
See Article on Publisher Site

Abstract

The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Jan 1, 2006

References

  • Seasonal and day-of-the-week effects in four emerging stock markets
    Aggarwal, R; Rivoli, P
  • A New Approach to Measuring Financial Contagion
    Bae, KH; Karolyi, GA; Stulz, RM
  • Stock Return Seasonalities in Asia Pacific Markets
    Ho, YK
  • Day-of-the-Week Effects in US and Asia-Pacific Stock Markets During the Asian Financial Crisis: A Non-Parametric Approach
    Hui, TK

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