NEW TESTS OF CALENDAR EFFECTS ON EQUITY AND SECURITIZED REAL ESTATE MARKETS

被引：2
|
作者：
Hui, Eddie C. M. [1 ]
Chan, Ka Kwan Kevin [1 ]
机构：
[1] Hong Kong Polytech Univ, Dept Bldg & Real Estate, Hong Kong, Hong Kong, Peoples R China
来源：
INTERNATIONAL JOURNAL OF STRATEGIC PROPERTY MANAGEMENT | 2018年 / 22卷 / 04期
关键词：
calendar effect; Shiryaev-Thou index; moving-window size; trading strategy; smoothing effect; STOCK-MARKET; ANOMALIES; SELL; BUY; SEASONALITY; HOLD;
D O I：
10.3846/ijspm.2018.4400
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：314 / 336
页数：23
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