Market conditions and calendar anomalies in Japanese stock returns

DOI10.1007/S10690-018-9263-4zbMATH Open1414.91438OpenAlexW2900876361WikidataQ128819286 ScholiaQ128819286MaRDI QIDQ2419789FDOQ2419789

Naheed Rabbani, Mostafa Saidur Rahim Khan

Publication date: 4 June 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9263-4

zbMATH Keywords

calendar anomaliesday of the week effectDekansho-Bushi effecthalloween effectJanuary effectturn of the month effect

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Halloween effect and Japanese equity prices: myth or exploitable anomaly

Cited In (2)

• The Japanese stock market and the macroeconomy: An empirical investigation
• Return anomalies on the Nikkei: are they statistical illusions?

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