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

Content Provider	Springer Nature Link
Author	Chandra, Mahendra
Copyright Year	2006
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.
Starting Page	297
Ending Page	310
Page Count	14
File Format	PDF
ISSN	0924865X
Journal	Review of Quantitative Finance and Accounting
Volume Number	27
Issue Number	3
e-ISSN	15737179
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2006-01-01
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Day-of-the-week effect Conditional correlation Asia-Pacific markets Econometrics Accounting/Auditing Finance /Banking Operations Research/Decision Theory
Content Type	Text
Resource Type	Article
Subject	Finance Accounting

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