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Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets
Lim, Shiok Ye; Chia, Ricky Chee-Jiun - In: Economics Bulletin 30 (2010) 2, pp. 996-1005
To challenge the appropriateness of the theory of the weak-form market efficiency, this study examines the day-of-the-week effect and the twist-of-the-Monday effect for the ASEAN – 5 stock markets for the period June 10, 2002 through August 21, 2009. Our Kruskal-Wallis statistic test...
Persistent link: https://www.econbiz.de/10008478895
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A re-examination on the calendar anomalies during Asian financial crisis : some empirical evidence from closure test principle and EGARCH-mean model
Chia, Ricky Chee-Jiun; Lim, Shiok Ye - In: Information efficiency and anomalies in Asian equity …, (pp. 69-88). 2017
Persistent link: https://www.econbiz.de/10011928433
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An empirical analysis of calendar anomalies in the Malaysian stock market
Lim, Shiok Ye; Ho, Chong Mun; Dollery, Brian - In: Applied financial economics 20 (2010) 1/3, pp. 255-264
Persistent link: https://www.econbiz.de/10003936014
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Stock market calendar anomalies : the case of Malaysia
Lim, Shiok Ye (contributor); Ho, Chong Mun (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003618971