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Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

Published online by Cambridge University Press:  06 April 2009

Jeffrey Jaffe  and
Randolph Westerfield
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Extract

Stock markets in the United States and foreign countries exhibit a strong weekly seasonal, an empirical regularity for which no theoretical explanation has been found. One's belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the United States by distance, institutional arrangements, and culture.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 2 , June 1985 , pp. 261 - 272
Copyright
Copyright © School of Business Administration, University of Washington 1985

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