New tests of calendar effects on equity and securitized real estate markets

Eddie C.M. Hui; Ka Kwan Kevin Chan

doi:10.3846/ijspm.2018.4400

New tests of calendar effects on equity and securitized real estate markets

Eddie C.M. Hui, Ka Kwan Kevin Chan

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

2 Citations (Scopus)

Abstract

We construct two new tests of calendar effects, apply them on 12 stock indices during 1996–2016, and compare the results with that using Hui and Chan (2016)’s method. The results show that the January and Halloween effects are significant for the four western generalized equity indices for small moving-window sizes. Furthermore, the securitized real estate indices show a greater difference in the overall calendar effect between the three methods than the general equity indices do. This study has an implication that a certain sector of the market is riskier than the whole market.

Original language	English
Pages (from-to)	314-336
Number of pages	23
Journal	International Journal of Strategic Property Management
Volume	22
Issue number	4
DOIs	https://doi.org/10.3846/ijspm.2018.4400
Publication status	Published - 2018

Keywords

Calendar effect
Moving-window size
Shiryaev-Zhou index
Smoothing effect
Trading strategy

ASJC Scopus subject areas

Strategy and Management

More information

10.3846/ijspm.2018.4400

http://hdl.handle.net/10397/80927

Cite this

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New tests of calendar effects on equity and securitized real estate markets

Abstract

Keywords

ASJC Scopus subject areas

More information

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