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- W1978178494 abstract "This paper investigates the impact of index futures tradings on day-of-the-week effects for the equity index in Taiwan's equity market. Using the extensive model of Hiraki, Maberly and Taube (1998), the empirical findings support the hypothesis that the introduction of index futures has a significant impact on the return structure, both in terms of daily seasonalities and the lag effects of past returns on current returns. Of particular interest, Tuesday effects gradually disappeared after the introduction of index futures, and in the post-futures period, Monday returns are found to be anomalous. After controlling non-normality of the error distribution and time-varying conditional variance, the results indicate that the Monday and the Tuesday effects co-exist after the index futures listings. Although the US equity market is shown to have a strong influence on the Taiwan's market, the pattern of weekend effects shift remains unchanged after taking the US spillover into account. The closing of Saturday trading is found to be a partial cause of the observed shift." @default.
- W1978178494 created "2016-06-24" @default.
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- W1978178494 date "2003-12-01" @default.
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- W1978178494 title "The Shift of Weekend Effects in Taiwan's Equity Index Return: Index Futures Listings or Other Alternative Explanations" @default.
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- W1978178494 doi "https://doi.org/10.1142/s0219091503001195" @default.
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