Month-of-the-Year and Symmetrical Effects in the Nikkei 225
This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive...
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my.unimas.ir.179922022-01-24T01:04:23Z http://ir.unimas.my/id/eprint/17992/ Month-of-the-Year and Symmetrical Effects in the Nikkei 225 Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen H Social Sciences (General) This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive conditional heteroscedasticity (TGARCH) model reveals no significant asymmetrical effect on good and bad news. The existence of month-of-the-year effect in TSE suggests that by means of properly timed investment strategies, financial managers, financial counselors and investors could take advantage of the patterns and gain profit IOSR 2012 Article PeerReviewed text en http://ir.unimas.my/id/eprint/17992/1/Ricky.pdf Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen (2012) Month-of-the-Year and Symmetrical Effects in the Nikkei 225. Journal of Business and Management (IOSRJBM), 3 (2). pp. 68-72. ISSN 2278-487X http://www.iosrjournals.org/ |
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| language |
English |
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H Social Sciences (General) |
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H Social Sciences (General) Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| description |
This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange
(TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock
markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive conditional
heteroscedasticity (TGARCH) model reveals no significant asymmetrical effect on good and bad news. The
existence of month-of-the-year effect in TSE suggests that by means of properly timed investment strategies,
financial managers, financial counselors and investors could take advantage of the patterns and gain profit |
| format |
Article |
| author |
Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen |
| author_facet |
Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen |
| author_sort |
Chia, Ricky Chee-Jiun |
| title |
Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| title_short |
Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| title_full |
Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| title_fullStr |
Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| title_full_unstemmed |
Month-of-the-Year and Symmetrical Effects in the Nikkei 225 |
| title_sort |
month-of-the-year and symmetrical effects in the nikkei 225 |
| publisher |
IOSR |
| publishDate |
2012 |
| url |
http://ir.unimas.my/id/eprint/17992/1/Ricky.pdf http://ir.unimas.my/id/eprint/17992/ http://www.iosrjournals.org/ |
| _version_ |
1724078502974586880 |
| score |
13.211869 |