Is there a Friday the 13th effect in emerging Asian stock markets?

Abstract

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Revisiting Calendar Anomalies in Brics Countries

“…The error term ε t~ St(0;h t ) is assumed to follow a Student's t-distribution with unit mean and conditional variance h t . This point is important, since the usage of a fat tail distribution (e.g., Student's t) for the GARCH innovations prevents a bias toward finding a calendar anomaly that, in fact, does not exist (e.g., Tsay, 2002;Auer and Rottmann, 2014;Uyaebo et al, 2015). The variance equation is defined as follows:…”

“…Second, within emerging markets, the BRICS countries have recently gained enormous investor attraction (Kinateder et al, 2017). To account for the stylized facts of stock market returns (i.e., leptokurtosis and heteroscedasticity), we use a generalized autoregressive conditional heteroskedasticity (GARCH) specification with dummy variables in the mean and variance equation (e.g., Auer and Rottmann, 2014). This approach offers two benefits.…”

Behavioural finance perspectives on Malaysian stock market efficiency

“…The first racial crisis occurred on May 13th in 1969 which had slow down the private investments and consequently the economic growth in 1971e1972 (Kean, 1986). Other social risks reflected in Malaysian stock market include the Severe Acute Respiratory Syndrome "SARS" (Ali et al, 2010), panic due to terrorism effects (Drakos, 2010;Ramiah, 2012), poor consumer confidence during bubbles (Leger & Leone, 2008), herding contagion during the financial crisis (Khan & Park, 2009) and believe on unlucky numbers (Auer & Rottmann, 2014). All of these factors have psychological connections to investors' sentiment, emotion, and mood that will directly determine their trading strategies.…”

Altin, Ham Petrol, GVZ Ve Ovx i̇n Türk Fi̇nansal Pi̇yasalarina Si̇metri̇k Ve Asi̇metri̇k Etki̇leri̇

“…Bu nedenle, nedenselliğin test edilmesinden önce serilerin, mevsimsel etkilerden arındırılması önerilmektedir. Yapılan çalışmalara göre, finansal serilerde gözlemlenen mevsimsel etkilerin genellikle, "Haftanın Günü Etkisi" ve "Yılın Ayı Etkisi" olduğundan bahsedilmektedir (Brusa & Liu, 2004;Ng & Wang, 2004;Jefferis & Smith, 2005;Raj & Kumari, 2006;Chukwuogor, 2007;Alagidede, 2008;Choudhary & Choudhary, 2008;Patel, 2008;Jacobsen & Visaltanachoti, 2009;Latif vd., 2011;Ulussever vd., 2011;Berument & Dogan, 2012;Hsieh & Chen, 2012;Mbululu & Chipeta, 2012;Kalidas vd., 2013;Plimsoll vd., 2013;Dicle & Levendis, 2014;Singh, 2014;Auer & Rottmann, 2014;Archana vd., 2014;Carchano & Pardo, 2015;Kayacetin & Lekpek, 2016;Kumar & Jawa, 2016;Gupta, 2017;Kaushik, 2017;Sing & Yadav, 2019;v.b.). Bu nedenle, çalışmada nedensellikten önce getiri serilerindeki ilk olarak "Haftanın Günü Etkisi" kukla değişkenler yardımı ile araştırılmıştır.…”