Weekly pattern in higher moments: An empirical test in Hong Kong stock market |
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Authors: | Gordon Y N Tang |
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Institution: | (1) Department of Finance and Decision Sciences, Hong Kong Baptist University, Kowloon Tong, Kowloon, Hong Kong |
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Abstract: | This paper provides a direct test on the day-of-the-week effect on higher moments of stock returns and compares across different
industrial sectors of the Hong Kong market. Empirical results show that daily returns of six different industrial sectors
on all weekdays are non-normally distributed. The hypothesis of equal higher moments is rejected by most pairs of weekdays,
particularly the Monday-Tuesday pair, for all indices, supporting the existence of the day-of-the-week effect on higher moments.
The results also show that the weekly pattern on volatility and higher moments cannot help explain the weekly pattern on mean
returns through the concept of risk premium. Further analysis shows that Rogalski’s effect exists on the higher moments because
the day-of-the-week effect exists only in non-January months. |
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Keywords: | |
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