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Title: Comparison of the seasonal pattern in mature and emerging stock market
Authors: Ho, Mei Fu (何美芙)
Lai, Christine Nga Sze (黎雅詩)
Yeung, Shek Man (楊碩文)
Department: Department of Economics and Finance
Issue Date: 2004
Course: EF5070 Econometrics, Semester A, 2004
Programme: MSc in Finance
Instructor: Dr. Fred Y. Kwan
Subjects: Stock exchanges
Stock exchanges – developing countries
Stock prices
Rate of return
Abstract: This study examines the “Conditional Mean” and “Conditional Variance” in two effects, Day-of-the-Week and Monthly for mature and immature stock markets. The data includes the daily and monthly market index returns of US, UK, Japan as mature markets and Shanghai A, Thailand, Malaysia as immature markets. The findings show that there is no similar pattern of either Day-of-the-Week or Monthly can be revealed between mature and immature stock markets. But both effects are present in each individual market. Negative “September” effect is found, indicating that investment decisions are influenced by the terrorists’ attack in 2001.
Appears in Collections:OAPS - Dept. of Economics & Finance

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