Month-of-the-year and symmetrical effects in the Nikkei 225

• Main Authors: Chia, Ricky Chee Jiun, Venus Khim-Sen Liew
• Format: Article
• Language: English; English
• Published: IOSR journal of Business and Management 2012
• Subjects: HF5691-5716 Business mathematics. Commercial arithmetic Including tables, etc.
• Online Access: https://eprints.ums.edu.my/id/eprint/30964/1/Month-of-the-year%20and%20symmetrical%20effects%20in%20the%20Nikkei%20225_ABSTRACT.pdf; https://eprints.ums.edu.my/id/eprint/30964/2/Month-of-the-Year%20and%20Symmetrical%20Effects%20in%20the%20Nikkei%20225.pdf; https://eprints.ums.edu.my/id/eprint/30964/; https://iosrjournals.org/iosr-jbm/papers/vol3-issue2/G0326872.pdf; http://dx.doi.org/10.9790/487X-0326872
• Institution: Universiti Malaysia Sabah

This study finds significant November effect in the Nikkei 225 index of the Tokyo Stock Exchange (TSE). This finding is consistent with previous evidence supportive of tax-loss selling hypothesis for the stock markets of U.S. and U.K. In addition, the estimated Threshold generalized autoregressive c...