Month-of-the-year and symmetrical effects in the Nikkei 225

This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive c...

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Bibliographic Details
Main Authors: Chia, Ricky Chee Jiun, Venus Khim-Sen Liew
Format: Article
Language:English
English
Published: IOSR journal of Business and Management 2012
Subjects:
Online Access:https://eprints.ums.edu.my/id/eprint/30964/1/Month-of-the-year%20and%20symmetrical%20effects%20in%20the%20Nikkei%20225_ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/30964/2/Month-of-the-Year%20and%20Symmetrical%20Effects%20in%20the%20Nikkei%20225.pdf