Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090905 | Journal of Banking & Finance | 2007 | 19 Pages |
Abstract
This study uses stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market. Our results generally indicate that higher returns appear on the first three days of the week across different trading-day regimes in the Taiwan foreign exchange market, confirming day-of-the-week effect. Allocating part of investors' assets in risk-free assets is useful in distinguishing returns among weekdays for all currencies.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mei-Chu Ke, Yi-Chein Chiang, Tung Liang Liao,