State space approach in assessing the existene of calendar Effects at international stock markets: its implication on efficient market hypothesis.
This research investigates the existence and persistence of a few types of calendar effects in ten International stock markets covering the period from 1995 to 2010. Most previous studies have used the standard OLS and ARLMA-GARCH-type models, restricting the coefficients representing the mean retur...
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| Format: | Monograph |
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Universiti Sains Malaysia
2012
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| Summary: | This research investigates the existence and persistence of a few types of calendar effects in ten International stock markets covering the period from 1995 to 2010. Most previous studies have used the standard OLS and ARLMA-GARCH-type models, restricting the coefficients representing the mean returns for the calendar effects as constants over the sample or sub-sample periods.
Penyelidikan ini menyiasat kewujudan dan kepersistenan beberapa jenis kesan calendar di sepuluh pasaran saham antarabangsa meliputi tempoh masa dari 1995 hingga 2010. Kebanyakan kajian terdahulu telah menggunakan standad model OLS dan variasi ARIMA-GARCH, menghadkan koefisien yang mewakili min pulangan bagi kesan kalendar sebagai konstan bagi tempoh masa sampel atau sub-sampel.
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