Summary
This paper aimed to investigate the existence of any calendar effect (DOW, MOY and Chinese cultural effect) in the selected Chinese populated countries (China, Hong Kong, Malaysia, Singapore and Taiwan) in term of lunar calendar as well as Gregorian calendar. Since OLS method is insufficient to test financial data due to the volatility clustering, this study employed ARCH model and its family including GARCH, TGARCH, and ARCH-M for the analysis by using Maximum Likelihood method. Based on time-varying volatility models, DOW and MOY effects as well as Chinese cultural effects hold in the selected stock markets but do not provide a conclusive result.
See the full content of this document
Extract
Stock Market Anomalies: Comparative Empirical Study On Gregorian and Lunar Calendar Effects
(ProQuest: ... denotes formulae omitted.)
1. IntroductionDevelopment in stock market analysis seems mirage Hegal's philosophy on dialectic, in which every thesis creates its antithesis and then negates to a higher synthesis. Since the initial published of Security Analysis (1934) by Benjamin Graham and David Dodd, fundamental analysis techniques are continuously being challenged and subsequently enhanced. Graham's thesis on stock market analysis was put to test successfully through one of his investment seminar students, Warrant Buffet. In contrast, two major antitheses to fundamental analysis are technical analysis and efficient market hypothesis. The former has its origin from the classic John Maynard Keynes's belief that the crowd behavior of investors has its bearing on the direction of the market, which could be reveal through trend charting. Yet, technical analysis has been improved over time, among notably is the scientific approach by Thomas DeMark.Earliest effort analyzing market returns using statistical method was documented in 1900 by Louis Bachelier, which was a pioneering foresight on random walk process as a Brownian motion (Peters, 1996). Claim that share price follows Brownian motion was later formalized by Osborne (1964 in Peter, 1996) before further extended to Efficient Market Hypothesis (EMH) by Fama (1970). Based on Fama's weak form of EMH, past prices of a stock or share should never give a predictive power to future prices of that stock. In another word, stock prices should be random, thus there are no way for investors to gain abnormal profit either using technical analysis.While numerous researches on EMH have not come to conclusive evidence on its universal validity, a relative new school of thought that known as behavioral finance offer its antithesis. Behavioral finance are closely related fields which apply scientific research on human, social cognitive and emotional biases to better understand economic decisions and how they affect market prices, returns and the allocation of resources. The fields are primarily concerned...See the full content of this document
(Copyright 2011)
Provided by ProQuest LLC. All Rights Reserved.
Content not included in vLex Global Academic product.
Sponsored links
