Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/80927
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dc.contributorDepartment of Building and Real Estate-
dc.creatorHui, ECM-
dc.creatorChan, KKK-
dc.date.accessioned2019-06-27T06:36:35Z-
dc.date.available2019-06-27T06:36:35Z-
dc.identifier.issn1648-715X-
dc.identifier.urihttp://hdl.handle.net/10397/80927-
dc.language.isoenen_US
dc.publisherVilnius Gediminas Technical Universityen_US
dc.rightsCopyright © 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 unrestricteden_US
dc.rightsThe 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.2018.4400en_US
dc.subjectCalendar effecten_US
dc.subjectMoving-window sizeen_US
dc.subjectShiryaev-Zhou indexen_US
dc.subjectSmoothing effecten_US
dc.subjectTrading strategyen_US
dc.titleNew tests of calendar effects on equity and securitized real estate marketsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage314-
dc.identifier.epage336-
dc.identifier.volume22-
dc.identifier.issue4-
dc.identifier.doi10.3846/ijspm.2018.4400-
dcterms.abstractWe 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.-
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationInternational journal of strategic property management, 2018, v. 22, no. 4, p. 314-336-
dcterms.isPartOfInternational journal of strategic property management-
dcterms.issued2018-
dc.identifier.scopus2-s2.0-85063995286-
dc.identifier.eissn1648-9179-
dc.description.validate201906 bcma-
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_IR/PIRAen_US
dc.description.pubStatusPublisheden_US
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