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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 c...

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Main Authors: Chia, Ricky Chee Jiun, Venus Khim-Sen Liew
Format: Article
Language:English
English
Published: IOSR journal of Business and Management 2012
Subjects:
HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc.
Online Access:https://eprints.ums.edu.my/id/eprint/30964/1/Month-of-the-year%20and%20symmetrical%20effects%20in%20the%20Nikkei%20225_ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/30964/2/Month-of-the-Year%20and%20Symmetrical%20Effects%20in%20the%20Nikkei%20225.pdf
https://eprints.ums.edu.my/id/eprint/30964/
https://iosrjournals.org/iosr-jbm/papers/vol3-issue2/G0326872.pdf
http://dx.doi.org/10.9790/487X-0326872
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spelling my.ums.eprints.309642021-11-19T02:16:28Z https://eprints.ums.edu.my/id/eprint/30964/ Month-of-the-year and symmetrical effects in the Nikkei 225 Chia, Ricky Chee Jiun Venus Khim-Sen Liew HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc. 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 journal of Business and Management 2012 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/30964/1/Month-of-the-year%20and%20symmetrical%20effects%20in%20the%20Nikkei%20225_ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/30964/2/Month-of-the-Year%20and%20Symmetrical%20Effects%20in%20the%20Nikkei%20225.pdf Chia, Ricky Chee Jiun and Venus Khim-Sen Liew (2012) Month-of-the-year and symmetrical effects in the Nikkei 225. IOSR Journal of Business and Management, 3. pp. 68-72. ISSN 2278-487X https://iosrjournals.org/iosr-jbm/papers/vol3-issue2/G0326872.pdf http://dx.doi.org/10.9790/487X-0326872
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
English
topic HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc.
spellingShingle HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc.
Chia, Ricky Chee Jiun
Venus Khim-Sen Liew
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
Venus Khim-Sen Liew
author_facet Chia, Ricky Chee Jiun
Venus Khim-Sen Liew
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 journal of Business and Management
publishDate 2012
url https://eprints.ums.edu.my/id/eprint/30964/1/Month-of-the-year%20and%20symmetrical%20effects%20in%20the%20Nikkei%20225_ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/30964/2/Month-of-the-Year%20and%20Symmetrical%20Effects%20in%20the%20Nikkei%20225.pdf
https://eprints.ums.edu.my/id/eprint/30964/
https://iosrjournals.org/iosr-jbm/papers/vol3-issue2/G0326872.pdf
http://dx.doi.org/10.9790/487X-0326872
_version_ 1760230831741206528
score 13.211869

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