Day-of-the-week effect in the Taiwan foreign exchange market

Mei-Chu Ke; Yi-Chein Chiang; Tung Liang Liao

doi:10.1016/j.jbankfin.2007.03.005

← Search

Journal of Banking & Finance Vol. 31 No. 9 2007

Day-of-the-week effect in the Taiwan foreign exchange market

Mei-Chu Ke ¹; Yi-Chein Chiang²; Tung Liang Liao²

¹ National Chin-Yi University of Technology · ² Feng Chia University

Abstract

This study uses stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market. Our results generally indicate that higher returns appear on the first three days of the week across different trading-day regimes in the Taiwan foreign exchange market, confirming day-of-the-week effect. Allocating part of investors’ assets in risk-free assets is useful in distinguishing returns among weekdays for all currencies.

DOI: 10.1016/j.jbankfin.2007.03.005
Volume: 31
Issue: 9
Pages: 2847-2865
Language: en
Sources: openalex crossref bibtex:phds-export.bib

Day-of-the-week effect in the Taiwan foreign exchange market

Abstract

Cite