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The turn-of-the-year effects in Asian stock markets

โœ Scribed by Insup Lee

Book ID
116173010
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
841 KB
Volume
2
Category
Article
ISSN
1049-0078

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## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti