THE PROFITABILITY OF THE WEEKEND EFFECT: EVIDENCE FROM THE TAIWAN MUTUAL FUND MARKET

被引：0
|
作者：
Lin, Mei-Chen [1 ]
Chen, Miawjane [1 ]
机构：
[1] Natl United Univ, Dept Finance, Miaoli 36003, Taiwan
来源：
JOURNAL OF MARINE SCIENCE AND TECHNOLOGY-TAIWAN | 2008年 / 16卷 / 03期
关键词：
weekend effect; mutual fund; seasonality;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In this research we first investigated the day-of-the-week effect in the Taiwan mutual fund market. The results revealed significantly negative Monday returns and positive Friday returns. This weekend effect did not vary greatly between the early and later Periods of the month. In the absence of transaction costs. weekend trading strategies. both simple and complex. call increase returns and moderate risk. Finally, the pattern triggered by macroeconomic news call only partially subsume the weekend effects of fund returns.
引用
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页码：222 / 233
页数：12
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