Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 麦建理教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/13504850500426046 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
其它资讯
摘要Intra- month returns for a liquid pool of small- cap stocks in Hong Kong are analysed over the period January 2000 to June 2005. A strong and persistent ` turn- of- the- month' effect is apparent where returns, measured between the close of trading on the penultimate day of business in a calendar month and the subsequent close five business days later, are recorded at levels averaging almost http://aims.cuhk.edu.hk/converis/portal/Publication/1.5%. This compares to returns over the preceding five- day period - capturing the ` end of month' effect - of almost - 0.3% on average. Further analysis also points to differential ` day- of- the- week' effects with Tuesday and Friday returns in particular at noticeably lower levels during the final week of a month as compared to earlier weeks. The Tuesday effect may well be an analogue of the US Monday effect given Wang et al.' s evidence of notably lower Monday returns toward month- ends, and the suggestion of a ` delayed Monday effect' in Asian time zones due to the opening of US Monday trading hours after Hong Kong trading hours.
着者McGuinness PB
期刊名称APPLIED ECONOMICS LETTERS
出版年份2006
月份http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
日期http://aims.cuhk.edu.hk/converis/portal/Publication/15
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/13
期次http://aims.cuhk.edu.hk/converis/portal/Publication/14
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
页次89http://aims.cuhk.edu.hk/converis/portal/Publication/1 - 898
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1350-485http://aims.cuhk.edu.hk/converis/portal/Publication/1
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1466-429http://aims.cuhk.edu.hk/converis/portal/Publication/1
语言英式英语
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
