An analysis of the January effect of united states, Taiwan and South Korean stock returns

Hin Sang Tong

doi:10.1007/BF01732896

An analysis of the January effect of united states, Taiwan and South Korean stock returns

Hin Sang Tong

Research output: Journal article publication › Journal article › Academic research › peer-review

25 Citations (Scopus)

Abstract

By using the ARCH approach of testing the time-varying risk premium, this paper examines the presence of the January effect in the Taiwanese and South Korean stock markets. Implications on the Tax-Loss-Selling hypothesis and the Liquidity Constraint hypothesis are also discussed.

Original language	English
Pages (from-to)	189-207
Number of pages	19
Journal	Asia Pacific Journal of Management
Volume	9
Issue number	2
DOIs	https://doi.org/10.1007/BF01732896
Publication status	Published - 1 Oct 1992
Externally published	Yes

ASJC Scopus subject areas

Business and International Management
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management

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10.1007/BF01732896

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An analysis of the January effect of united states, Taiwan and South Korean stock returns

Abstract

ASJC Scopus subject areas

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