Day of the Week Effect of Asian Stock Markets
2012; Volume: 3; Issue: 3 Linguagem: Inglês
ISSN
2231-4172
AutoresNikunj Patel, Nitesh Radadia, Juhi Dhawan,
Tópico(s)Stock Market Forecasting Methods
ResumoABSTRACTThe objective of this paper is to observe the descriptive statistics and examine of the week in four selected stock markets of Asian countries namely: India (Bombay Stock Exchange), Hong Kong (Hong Kong Stock Exchange), Japan (Tokyo Stock Exchange) and China (Shanghai Stock Exchange). The data includes daily adjusted closing index prices of Asian stock markets understudy. We have taken sample period of daily data from 1st Jan. 2000 to 31st March. 2011. We have also divided the data in three sub-periods, 1. Period 1: Sample from 05/01/2000 to 20/10/2003 2. Period 2: Sample from 21/10/2003 to 29/06/2007 3. Period 3: Sample from 03/07/2007 to 31/03/2011. We have used logarithm transformed stock price indices to neutralize their returns. BSE has given maximum average return on Wednesday; Hang Seng has given highest returns on Friday whereas, Nikkei and SSE Composite have given highest returns on Thursday and Wednesday respectively. The Monday was a of high volatility in Asian markets understudy. The return distributions in all market were not normally distributed. The research suggests that there is no evidence of day of the week effect in the markets understudy during the period. This finding is also similar in all sub-periodsKeywords: Day of the week effect, Augmented Dickey-Fuller, OLS RegressionJEL Classification: C12, C22, G14, G15, O53(ProQuest: ... denotes formula omitted.)INTRODUCTION:BSE SENSEX:The full form of BSE is The Bombay Stock Exchange; it is offering the index known as SENSEX. The acronym of SENSEX is Sensitive Index. BSE is offering vide varieties of indices but BSE 30 is the basic barometer of the overall market performance as it covers most of the diversified companies. The BSE is the oldest stock exchange in Asia, Sensex follows free-float market capitalization-weighted index. The Index is published from January 1, 1986. The base value of the SENSEX was taken as 100 on April 1, 1979, and its base year as 1978- 79. BSE switched from open cry trading system to electronic trading system in 1995.HANG SENG INDEX:The Hang Seng Index is known as HIS, It was started on November 24, 1969. It is following free float-adjusted market capitalization-weighted stock market index. The Hang Seng index is a major index of Hong Kong and it is widely used as a barometer for the economy. The index is constituted based on 40 largest companies with their weighted market capitalization and HSI is contributing almost 65 per cent of total market capitalization. The Index is compiled and maintained by Hang Seng Index's Company Limited, which is a wholly owned subsidiary of Hang Seng Bank.NIKKEI 225 INDEX:The Nikkei 225 is an index of Tokyo Stock Exchange (TSE). The TSE is the second oldest stock exchange of Asia after BSE. The Nikkei 225 is commonly known as the Nikkei. The Nihon Keizai Shimbun (Nikkei) newspaper is calculating the index since 1950. The index is a price-weighted average. Currently, the Nikkei is the most widely used proxy for Japanese equity market. The Nikkei 225 instigated to be calculated on September 7, 1950.SSE COMPOSITE:The SSE Composite Index was launched on July 15, 1991. The SSE Composite Index has a bifurcation of A shares and B shares that trades at the Shanghai Stock Exchange. SSE Indices are being calculated using a Paasche weighted composite price index formula. The base value was taken 100 with the base date of December 19, 1990.The figure-1 shows the trend of Asian markets understudy. The data comprises of daily closing values of stock markets indexes for India (BSE Sensex 30), Hong Kong (HANGSENG), Japan (NIKKEI 225) and China (SSE Composite). The data includes daily closing observation from 1st January 2000 to 31st March, 2011, during which some of markets remained volatile, especially India, Hong Kong, and Japan whereas China (SSE Composite) remains same from full period. Trend shows that the prices are moving cumulatively in systematic manner. …
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