Day-of-the-week variation and predicting stock returns: Taiwan and Thailand stock exchanges
Date of Original Version
Previously, researchers created a day-of-the-week anomaly in closing stock returns for firms listed on established financial markets. This article explores whether this line of argument is or is not satisfactory and does or does not aid in predicting daily stock returns. The article focuses on the performance of stock returns for two large Asian Stock Market exchanges, Taiwan and Thailand. The purpose is to determine if stock market returns (which include closing prices and dividends) are in part predictable and whether there are explanations for short-term predictability.
Publication Title, e.g., Journal
Journal of Asia-Pacific Business
Jarrett, Jeffrey E.. "Day-of-the-week variation and predicting stock returns: Taiwan and Thailand stock exchanges." Journal of Asia-Pacific Business 10, 3 (2009): 257-265. doi: 10.1080/10599230903094786.