Return and Risk Premium Seasonalities in three Emerging Asian Markets: Hong Kong, Korea and Taiwan

Stephen Y L CHEUNG*, Richard Yan‐Ki Ho, Kwok‐Fai ‐F Wong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

Abstract

In this study, we find that seasonal return patterns differ from that implied by risk premiums in three emerging Asian markets; namely, Hong Kong, Korea and Taiwan. Positive January seasonal returns are found in the Hong Kong and Taiwan markets, while positive February seasonal returns are also found in Taiwan. These findings suggest that investors should place their money in these markets during January but not for the months of June and December in Korea, and for the months of May and November in Taiwan. Corporate managers should also be aware of the need to adjust for such seasonal variations when they use market data to evaluate the risk premium or required rate of return for projects in these markets. The results also show that the size effect may also be priced in some of these markets.

Original languageEnglish
Pages (from-to)223-241
Number of pages19
JournalJournal of International Financial Management and Accounting
Volume5
Issue number3
DOIs
Publication statusPublished - Oct 1994

Scopus Subject Areas

  • Accounting
  • Business, Management and Accounting (miscellaneous)
  • Finance

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