TY - JOUR
T1 - Day-of-the-week effect on the return and conditional variance of the H-shares index in Hong Kong
AU - Chan, Hing Lin
AU - Woo, Kai Yin
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2012/2
Y1 - 2012/2
N2 - The purpose of this article is to investigate the day-of-the-week effect on both the return and conditional variance (volatility) of the H-shares index in Hong Kong from 3 January 2000 to 1 August 2008. Using an Exponential General Autoregressive Conditional Heteroskedasticity (EGARCH) specification to model the conditional variance, we find that the day-ofthe-week effect is present in both return and variance equations. In particular, higher risk-adjusted returns are found on Monday and Friday. However, after adjusting for market risks that vary across the days of the week, only the Monday effect remains. The conditional variance model also finds that the highest volatility of return also occurs on Monday. Thus, the Monday effects on risk-adjusted returns may be a reward for higher volatility on that day. However, after adjusting for transaction costs, the abnormal returns for Monday become negligible.
AB - The purpose of this article is to investigate the day-of-the-week effect on both the return and conditional variance (volatility) of the H-shares index in Hong Kong from 3 January 2000 to 1 August 2008. Using an Exponential General Autoregressive Conditional Heteroskedasticity (EGARCH) specification to model the conditional variance, we find that the day-ofthe-week effect is present in both return and variance equations. In particular, higher risk-adjusted returns are found on Monday and Friday. However, after adjusting for market risks that vary across the days of the week, only the Monday effect remains. The conditional variance model also finds that the highest volatility of return also occurs on Monday. Thus, the Monday effects on risk-adjusted returns may be a reward for higher volatility on that day. However, after adjusting for transaction costs, the abnormal returns for Monday become negligible.
KW - Day-of-theweek effect
KW - EGARCH model
KW - H-shares index
KW - Volatility
UR - http://www.scopus.com/inward/record.url?scp=80051893825&partnerID=8YFLogxK
U2 - 10.1080/13504851.2011.572838
DO - 10.1080/13504851.2011.572838
M3 - Journal article
AN - SCOPUS:80051893825
SN - 1350-4851
VL - 19
SP - 243
EP - 249
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 3
ER -