The Disappearing Day-of-the-Week Effect in Australia and New Zealand Stock Markets: Evidence from TAR-GARCH Model

Ricky Chee-Jiun Chia

doi:10.51200/mjbe.v1i2.119

The Disappearing Day-of-the-Week Effect in Australia and New Zealand Stock Markets: Evidence from TAR-GARCH Model

Authors

Ricky Chee-Jiun Chia Labuan Faculty of International Finance, Universiti Malaysia Sabah

DOI:

https://doi.org/10.51200/mjbe.v1i2.119

Keywords:

asymmetrical effect, day-of-the-week effect, TAR-GARCH model

Abstract

This study examined the existence of the daily pattern of calendar anomalies and asymmetrical behavior in Australia and New Zealand stock markets over the period 2002 to 2014. This study found disappearing of day-of-the-week effect in the return of both Australia and New Zealand stock markets. By using the TAR-GARCH model, this study uncovered that there appear asymmetrical market reaction on the positive and negative news in both of the stock markets. It is believed that the consistent of these findings have useful implications for trading strategies and investment decisions. Thus, investors should use the information to avoid and reduce the risk when investing in these markets.

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How to Cite

Chia, R. C.-J. (2016). The Disappearing Day-of-the-Week Effect in Australia and New Zealand Stock Markets: Evidence from TAR-GARCH Model. Malaysian Journal of Business and Economics (MJBE), 1(2). https://doi.org/10.51200/mjbe.v1i2.119

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Issue

Vol. 1 No. 2 (2014): MJBE Volume 1, Number 2, 2014

Section

Article

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