The day-of-the-week effect in conditional correlation |
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Authors: | Mahendra Chandra |
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Institution: | (1) School of Accounting, Finance and Economics, Edith Cowan University, 100 Joondalup Drive, Joondalup, WA, 6027, Australia |
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Abstract: | The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However,
not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models
the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper
finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns
for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is
detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market
and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns
and the correlations for this region.
JEL Classification G15 · G14 |
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Keywords: | Day-of-the-week effect Conditional correlation Asia-Pacific markets |
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