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| Author: | Lee, I. Pettit, R. R. Swankoski, M. V. |
| Title: | Daily return relationships among Asian stock markets. |
| Journal: | Journal of Business Finance and Accounting
1990 : SPRING, VOL. 17:2, p. 265-284 |
| Index terms: | STOCK MARKETS RATE OF RETURN ASIA |
| Language: | eng |
| Abstract: | Daily return relationships among Asia's five leading stock markets from 1980 through 1988 are investigated and compared with similar relationships of USA markets. Both individual country day-of-the-week effects, and relationships between countries are examined. The results show a strong tendency for mean returns to differ by day-of-the-week in most of these markets. Other parameters of the return distribution do not seem to experience strong day-of-the-week patterns. Daily return relationships between markets show varying degrees of association, but the evidence suggests that the relationships are weak, and absent in the case of the markets of Taiwan and Korea. |
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