Seasonal pattern in volatility in Asian stock markets

Author(s)
Author(s)
Ho, R. Y.-K.
Date Issued
1994
Publisher
Routledge
Journal
Applied Financial Economics
Volume
4
Issue
1
Start page
61
End page
67
Abstract
Using the Levene test, it is found that there exist day-of-the-week variations in volatility in most of the emerging Asian stock markets. Monday returns, in general, have the lowest volatility for all the emerging Asian markets except Korea. Three of the five markets that have significant day-of-the-week effect in volatility have the lowest volatility on the last trading day of the week. It is also found that the close-market effect is not a good explanation of the volatility pattern across day-of-the-week.
URI
DOI
SFU Affiliated Publication
No
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