Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/80927
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Building and Real Estate | - |
dc.creator | Hui, ECM | - |
dc.creator | Chan, KKK | - |
dc.date.accessioned | 2019-06-27T06:36:35Z | - |
dc.date.available | 2019-06-27T06:36:35Z | - |
dc.identifier.issn | 1648-715X | - |
dc.identifier.uri | http://hdl.handle.net/10397/80927 | - |
dc.language.iso | en | en_US |
dc.publisher | Vilnius Gediminas Technical University | en_US |
dc.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 | en_US |
dc.rights | 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 | en_US |
dc.subject | Calendar effect | en_US |
dc.subject | Moving-window size | en_US |
dc.subject | Shiryaev-Zhou index | en_US |
dc.subject | Smoothing effect | en_US |
dc.subject | Trading strategy | en_US |
dc.title | New tests of calendar effects on equity and securitized real estate markets | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 314 | - |
dc.identifier.epage | 336 | - |
dc.identifier.volume | 22 | - |
dc.identifier.issue | 4 | - |
dc.identifier.doi | 10.3846/ijspm.2018.4400 | - |
dcterms.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. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | International journal of strategic property management, 2018, v. 22, no. 4, p. 314-336 | - |
dcterms.isPartOf | International journal of strategic property management | - |
dcterms.issued | 2018 | - |
dc.identifier.scopus | 2-s2.0-85063995286 | - |
dc.identifier.eissn | 1648-9179 | - |
dc.description.validate | 201906 bcma | - |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_IR/PIRA | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
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Hui_NEW_TESTS_CALENDAR.pdf | 349.59 kB | Adobe PDF | View/Open |
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