Return and risk premium seasonalities in three emerging Asian markets: Hong Kong, Korea and Taiwan
Author(s)
Author(s)
Ho, R. Y.-K.
Wong, K.-F.
Date Issued
1994
Publisher
John Wiley & Sons
Journal
Journal of International Financial Management & Accounting
Volume
5
Issue
3
Start page
223
End page
241
Abstract
In this study, we find that seasonal return patterns differ from that implied by risk premiums in three emerging Asian markets; namely, Hong Kong, Korea and Taiwan. Positive January seasonal returns are found in the Hong Kong and Taiwan markets, while positive February seasonal returns are also found in Taiwan. These findings suggest that investors should place their money in these markets during January but not for the months of June and December in Korea, and for the months of May and November in Taiwan. Corporate managers should also be aware of the need to adjust for such seasonal variations when they use market data to evaluate the risk premium or required rate of return for projects in these markets. The results also show that the size effect may also be priced in some of these markets.
SFU Affiliated Publication
No
Availability at SFU Library
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