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http://hdl.handle.net/10397/80927
Title: | New tests of calendar effects on equity and securitized real estate markets | Authors: | Hui, ECM Chan, KKK |
Issue Date: | 2018 | Source: | International journal of strategic property management, 2018, v. 22, no. 4, p. 314-336 | 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. | Keywords: | Calendar effect Moving-window size Shiryaev-Zhou index Smoothing effect Trading strategy |
Publisher: | Vilnius Gediminas Technical University | Journal: | International journal of strategic property management | ISSN: | 1648-715X | EISSN: | 1648-9179 | DOI: | 10.3846/ijspm.2018.4400 | Rights: | Copyright © 2018 The Author(s). Published by VGTU Press. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted The following publication Hui, E., & Chan, K. (2018). New tests of calendar effects on equity and securitized real estate markets. International Journal of Strategic Property Management, 22(4), 314-336 is available at https://doi.org/10.3846/ijspm.2018.4400 |
Appears in Collections: | Journal/Magazine Article |
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Hui_NEW_TESTS_CALENDAR.pdf | 349.59 kB | Adobe PDF | View/Open |
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