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Full-Text Articles in Social and Behavioral Sciences
On The Disappearance Of Tuesday Effect In Australia, Chien-Ting Lin, Lee Kian Lim
On The Disappearance Of Tuesday Effect In Australia, Chien-Ting Lin, Lee Kian Lim
Research outputs pre 2011
Day of the week (DOW) effect has been well known in many markets. The United States, the United Kingdom, Canada, and Switzerland all have been found to exhibit significant average negative Monday returns [Agrawal and Tandon, 1998]. Other developing markets in Indonesia, Malaysia and Thailand are also found to have the same seasonality [Choudhry, 2000]. Australia however displays its DOW effect on Tuesdays rather than on Mondays (Jaffe and Westerfield [1985], Easton and Faff [1994]). Jaffe and Westerfield [1985] suggest that there might be a linkage between the U.S. Monday seasonal and the Asia-Pacific DOW effect as they are one …