Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-09T14:10:51.914Z Has data issue: false hasContentIssue false
  • English
  • Français

Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

Published online by Cambridge University Press:  06 April 2009

Jeffrey Jaffe  and
Randolph Westerfield
Get access Rights & Permissions [Opens in a new window]

Extract

Stock markets in the United States and foreign countries exhibit a strong weekly seasonal, an empirical regularity for which no theoretical explanation has been found. One's belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the United States by distance, institutional arrangements, and culture.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 2 , June 1985 , pp. 261 - 272
Copyright
Copyright © School of Business Administration, University of Washington 1985

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Cross, F. “The Behavior of Stock Prices on Fridays and Mondays.” Financial Analysts Journal, Vol. 28 (11–12 1973), pp. 67–69.CrossRefGoogle Scholar
[2]French, K. “Stock Returns and the Weekend Effect.” Journal of Financial Economics, Vol. 8 (03 1980), pp. 55–69.CrossRefGoogle Scholar
[3]Gibbons, M., and Hess, P.. “Day of the Week Effects and Asset Returns.” Journal of Business, Vol. 54 (10 1981), pp. 579–596.CrossRefGoogle Scholar
[4]Harris, L. “A Transactional Study of Weekly and Intradaily Patterns in Stock Returns.” Unpublished Manuscript, University of Southern California (1984).Google Scholar
[5]Jaffe, J., and Westerfield, R.. “The Week-End Effect in Common Stock Returns: The International Evidence.” Journal of Finance, Vol. 40, (forthcoming).Google Scholar
[6]Keim, D., “Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence.” Journal of Financial Economics, Vol. 12 (06 1983), pp. 13–32.CrossRefGoogle Scholar
[7]Keim, D., and Stambaugh, R.. “A Further Investigation of the Weekend Effect in Stock Returns.” Journal of Finance, Vol. 39 (06 1984), pp. 819–834.CrossRefGoogle Scholar
[8]Lakonishok, J., and Levi, M.. “Weekend Effects on Stock Returns: A Note.” Journal of Finance, Vol. 37 (06 1982), pp. 883–889.CrossRefGoogle Scholar
[9]Levi, M. “The Weekend Game: Clearing House vs. Federal Funds.” Canadian Journal of Economics, Vol. 11 (11 1978), pp. 750–757.CrossRefGoogle Scholar
[10]McFarland, J.; Pettit, R.; and Sung, S.. “The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement.” Journal of Finance, Vol. 37 (06 1982), pp. 693–716.CrossRefGoogle Scholar
[11]Pindyck, R., and Rubinfield, D.. Econometric Models and Economic Forecasts, 2nd ed. New York: McGraw Hill (1981).Google Scholar
[12]Rogalski, R. “New Findings Regarding Day of the Week Returns over Trading and Non-Trading Periods.” Unpublished Manuscript, Dartmouth College(1984).CrossRefGoogle Scholar
[13]Rogalski, R.. “Discussion.” Journal of Finance, Vol. 39 (07 1984), pp. 835–837.Google Scholar
[14]Theobald, M., and Price, V.. “Seasonality Estimation in Thin Markets.” Journal of Finance Vol. 39 (06 1984), pp. 377–392.CrossRefGoogle Scholar