The Asian crisis and calendar effects on stock returns in Thailand

DOI10.1016/J.EJOR.2004.01.015MaRDI QIDQ704088zbMATH OpenOpenAlexFDO

Authors Ken Holden, John Thompson, Yuphin Ruangrit

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.01.015

zbMATH Keywords

Asian crisisCalendar effectsGARCH modelsThai Stock Market

Mathematics Subject Classification ID

Marketing, advertising (90B60)

Recommendations

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• Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
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Cites work

• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1827068 (Why is no real title available?)

Cited in

(6)

• Asian financial crisis. Prologue and the case of Thailand
• Market conditions and calendar anomalies in Japanese stock returns
• The Halloween effect and Japanese equity prices: myth or exploitable anomaly
• EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES
• Exchange holidays and stock price behavior on the Taiwan stock exchange
• Stock returns seasonality in emerging Asian markets

Describes a project that uses

Uses Software

• Microfit

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