Seasonal pattern in volatility in Asian stock markets

Richard Yan-Ki Ho, Stephen Y L Cheung

Research output: Contribution to journalJournal articlepeer-review

48 Citations (Scopus)


Using the Levene test, it is found that there exist day-of-the-week variations in volatility in most of the emerging Asian stock markets. Monday returns, in general, have the lowest volatility for all the emerging Asian markets except Korea. Three of the five markets that have significant day-of-the-week effect in volatility have the lowest volatility on the last trading day of the week. It is also found that the close-market effect is not a good explanation of the volatility pattern across day-of-the-week.

Original languageEnglish
Pages (from-to)61-67
Number of pages7
JournalApplied Financial Economics
Issue number1
Publication statusPublished - 1 Feb 1994

Scopus Subject Areas

  • Finance
  • Economics and Econometrics


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