This paper examines the day-of-the-week effect on skewness and kurtosis of stock returns of six international stock markets using a new approach. Empirical results show that a day-of-the-week effect exists on the skewness and kurtosis of all stock markets except the US market. The portfolio...

Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show...

This study comparatively examines the dividends behavior in state-controlled firms versus family-controlled firms. With the sample of large industrial firms listed on the Main Board of Hong Kong Stock Exchange, we investigate the dividends payment rates, stability of dividends payment, the...

Using a direct test, this paper studies the month-of-the-year effect on the higher moments of six industrial stock indices of the Hong Kong market. We also examine the portfolio effect on skewness and kurtosis across month of the year to see if such an anomaly exists. The empirical results...

This paper examines the day-of-the-week effect on the currency returns of ten Asian-Pacific countries and differs from previous studies in that it tests directly the effect on higher moments of currency returns. Using ten-year daily data, the results first show that currency returns are...

In the past, stock returns are often assumed to be normally distributed. Potential gains from international portfolio diversification are thus based on a mean-variance framework. However, numerous empirical results reveal that stock returns are actually not normally distributed. Although...

Purpose The purpose of this paper is to explore the demand for conditional accounting conservatism from equity shareholders in state-controlled firms. Design/methodology/approach This study presents empirical investigation of firms listed on Hong Kong Stock Exchange from 1997 to 2013. Findings...