اثرات یک روز خاص از هفته در بازارهای سهام آمریکا و آسیا و اقیانوس آرام در طول بحران مالی آسیا: یک روش غیرپارامتری

This paper is devoted to extending the determination of day-of-the-week effect existing in a sample of Asia–Pacific markets such as Hong Kong, Korea, Singapore and Taiwan. At the same time, we also like to test for the presence of weekend effects in developed markets of the US and Japan. In view of recent studies regarding the disappearing day-of-the-week effect for US firms, we will focus our attention on the recent years to better track the presence of weekend effects during and after the Asian financial crisis in 1997 and the recent collapse of the blue chip stocks in the United States. The results reveal that there exists no evidence of the day-of-the-week effect in all countries except Singapore. For Singapore, it is low returns on Monday and Tuesday and high returns on Wednesday to Friday.

A number of researches done in the past had found a tendency towards day-of-the-week effects in stock returns in the US market. In particular, the average returns on Friday close exhibited high returns while those of Monday close are negative. French [1] found that the effect was a weekend effect rather than a more general “closed market effect”. Gibbons and Hess [2], Lakonishok and Levi [3] and Keim and Stambaugh [4], Harris [5] and Smirlock and Starts [6] also found extensive evidence of the “weekend” effect in the US. Nevertheless, early studies of some of the world's major stocks, bond and foreign exchanges have also discovered important seasonal variations in the parameters of return distribution, especially the mean returns. Early studies suggest that a tendency towards negative weekend returns is the norm rather than being US specific. For instance, Theobald and Price [7] and Condoyanni et. al. [8] found the evidence of weekend effect in the UK market. An independent study by Jaffe and Westerfield [9] also found similar results for other major markets like Japan, Australia and Canada. However, recent literature review has complicated the international day-of-the-week effect. According to Connolly [10] and [11] and Chang et al. [12], the sample size and/or error term adjustments render US day-of-the-week effects to be statistically insignificant. Dubois and Louvet [13] confirmed these findings. Kim et al. [14] also found no evidence of day-of-the-week effects in the Korean and Thailand stock markets. This study is devoted to extend the determination of weekend effect existing in a sample of the four Asia–Pacific markets, namely, Taiwan, Korea, Hong Kong and Singapore. At the same time, we will test for the presence of weekend effect in developed markets of the US and Japan. In view of recent studies regarding the disappearing day-of-the-week effect for US market, we will only focus our attention on the recent years to better track the presence of weekend effect especially the periods after the Asian financial crisis in 1997 and the recent global downturn that adversely affect prices of blue chip stocks in the Untied States. The remainder of the paper is structured as follows. Section 2 summaries the literature review on the topic and discusses some related issues. Section 3 outlines the data used and the methodology that will be applied. The findings will be included in Section 4 while Section 5 concludes the findings.

We have investigated the day to day behavior of stock market returns for US, Japan, Hong Kong, South Korea, Singapore and Taiwan. As the data were found to be non-normal, thus non-parametric tests were employed to investigate the evidence of day-of-the-week effects. Although Hong Kong, Taiwan and Singapore follow the general pattern of higher average stock returns on the last trading day of the week and lower than average returns on the first, the matured markets of US and Japan and the relatively new Korean stock market do not conform to the same pattern. The mixed results in the US, Japan and Korea markets contradict with earlier studies. A Kruskal–Wallis test was carried out to substantiate the evidence of weekend-effect. From the test results, it was clearly seen that there is no conclusive evidence of the weekend effect on the various stock markets (both matured and Asia–Pacific ones) except for Singapore. The results of this study thus demonstrate that recent weekend-effect may not be a pervasive feature of matured capital markets around the world and some of those emerging markets. The results may possibly depend on sample size or the period of study. Moreover, the time frame that we had chosen was affected by the mid-Asian financial crisis in 1997 and the collapse of the blue chip stocks in US recently. Hence conclusive results demonstrating no day-of-the-week effects could not definitely be drawn here, more comprehensive studies with additional information are needed. In the absence of other potential explanations on weekend-effect already dismissed by Jaffe and Westerfield [9], evidence in this study further complicates the international day-of-the-week effect puzzle.