The prolonged weekend effect in the Philippine stock market for years 2001-2010
There are several theories which attempt to explain the behavior of the financial market: be it the birth of calendar anomalies like the holiday effect, month of the year effect, day of the week effect and weekend effect, among others. Studies around the globe were conducted to test whether a partic...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2013
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9003 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | There are several theories which attempt to explain the behavior of the financial market: be it the birth of calendar anomalies like the holiday effect, month of the year effect, day of the week effect and weekend effect, among others. Studies around the globe were conducted to test whether a particular market is vulnerable to the above mentioned phenomena. In this paper, the authors test the presence of calendar anomalies using a combination of two types of calendar anomalies, namely, the holiday effect and the weekend effect, and examine the impact that a normal weekend combined with a holiday affects the Philippine stock market. Once the behavior of the market towards the occurrence of a prolonged weekend is established, given that there is indeed a significant impact, this study would allow them to maximize returns, upon the occurrence of a holiday weekend. The assessment of this research was conducted in a per index basis which included the PSEi, services, holdings, financial, mining, industrial and property indices. |
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