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 | |
| 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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