Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets
Existing literature on market seasonality focuses mainly on returns anomalies with little or no attention to risk adjustment. This study investigates risk-adjusted, and Bonferroni adjusted day-of-the-week anomalies in nine emerging Asian stock markets. The data consist of the daily prices of nine st...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2020-04-01
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| Series: | Economic Journal of Emerging Markets |
| Subjects: | |
| Online Access: | http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/14509 |
| _version_ | 1818063704374116352 |
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| author | Faheem Aslam Bilal Ahmed Memon Khurram Shahzad Mughal |
| author_facet | Faheem Aslam Bilal Ahmed Memon Khurram Shahzad Mughal |
| author_sort | Faheem Aslam |
| collection | DOAJ |
| description | Existing literature on market seasonality focuses mainly on returns anomalies with little or no attention to risk adjustment. This study investigates risk-adjusted, and Bonferroni adjusted day-of-the-week anomalies in nine emerging Asian stock markets. The data consist of the daily prices of nine stock indices from January 1997 to September 2019. The MSCI emerging market index was employed as a proxy of time-varying risk. Findings/originality: The results confirm the presence of day-of-the-week anomalies in emerging Asian markets, and the addition of the market risk proxy has failed to fade these patterns. Finally, after consideration of time-varying risk premium and applying Bonferroni Correction type adjustment, several market anomalies remain. However, both adjustments partially eliminate the significance of these patterns. The presence of these anomalies suggests that little of this can be accounted for the MSCI-EM stock price index. The results also confirm that systematic risk level varies from Monday to Friday.
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| first_indexed | 2024-12-10T14:24:20Z |
| format | Article |
| id | doaj.art-1bd18c31be894c8f871b162c53f08e5b |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-12-10T14:24:20Z |
| publishDate | 2020-04-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-1bd18c31be894c8f871b162c53f08e5b2022-12-22T01:45:07ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2020-04-01121Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock marketsFaheem Aslam0Bilal Ahmed Memon1Khurram Shahzad Mughal2Hanyang University Business School, South Korea Department of Management Sciences, COMSATS University Islamabad, PakistanJiangsu University, Zhenjiang, ChinaState Bank of Pakistan, PakistanExisting literature on market seasonality focuses mainly on returns anomalies with little or no attention to risk adjustment. This study investigates risk-adjusted, and Bonferroni adjusted day-of-the-week anomalies in nine emerging Asian stock markets. The data consist of the daily prices of nine stock indices from January 1997 to September 2019. The MSCI emerging market index was employed as a proxy of time-varying risk. Findings/originality: The results confirm the presence of day-of-the-week anomalies in emerging Asian markets, and the addition of the market risk proxy has failed to fade these patterns. Finally, after consideration of time-varying risk premium and applying Bonferroni Correction type adjustment, several market anomalies remain. However, both adjustments partially eliminate the significance of these patterns. The presence of these anomalies suggests that little of this can be accounted for the MSCI-EM stock price index. The results also confirm that systematic risk level varies from Monday to Friday. http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/14509emergingrisk adjustedBonferroni adjustedanomaliesmarket efficiency. |
| spellingShingle | Faheem Aslam Bilal Ahmed Memon Khurram Shahzad Mughal Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets Economic Journal of Emerging Markets emerging risk adjusted Bonferroni adjusted anomalies market efficiency. |
| title | Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets |
| title_full | Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets |
| title_fullStr | Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets |
| title_full_unstemmed | Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets |
| title_short | Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets |
| title_sort | risk adjusted and bonferroni adjusted seasonality in emerging asian stock markets |
| topic | emerging risk adjusted Bonferroni adjusted anomalies market efficiency. |
| url | http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/14509 |
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