Day-of-the-week effect in the Taiwan foreign exchange market

被引：35

作者：

Ke, Mei-Chu

Chiang, Yi-Chein

Liao, Tung Liang

机构：

[1] Natl Chin Yi Univ Technol, Dept Ind Engn & Management, Taiping City 411, Taichung County, Taiwan

[2] Feng Chia Univ, Dept Int Trade, Taichung 40724, Taiwan

[3] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

来源：

JOURNAL OF BANKING & FINANCE | 2007年 / 31卷 / 09期

关键词：

day-of-the-week effect; stochastic dominance theory; efficient set;

D O I：

10.1016/j.jbankfin.2007.03.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study uses stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market. Our results generally indicate that higher returns appear on the first three days of the week across different trading-day regimes in the Taiwan foreign exchange market, confirming day-of-the-week effect. Allocating part of investors' assets in risk-free assets is useful in distinguishing returns among weekdays for all currencies. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：2847 / 2865

页数：19

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