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|Title: ||A Comparison of Yearly Stock Return Seasonality Among the American, Hong Kong and Taiwanese Markets|
Chen, Jimmy D. F.
|Issue Date: ||2016-10-17 15:31:29 (UTC+8)|
January and non-January seasonals have been found in several stock markets with lower capitalization. This study examines the yearly seasonals of the American, Hong Kong, and Taiwanese markets. The significance and persistence of the January and non-January seasonals are investigated and compared. Our findings are as follows: (1) the U.S. market does not have any significant and persistent seasonals while the Hong Kong market shows five months and Taiwan three; (2) non-January seasonals found in these Chinese markets are not caused by Chinese tradition; (3) the January effect is stronger in the Hong Kong and the Taiwanese markets than in the American marekt; and (4) the return patterns are different and the risk return disequilibrium exists between high and low capitalized markets.
|Relation: ||國立政治大學學報, 65,613-630|
|Data Type: ||article|
|Appears in Collections:||[Issue 65] Journal Articles|
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