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Showing papers on "Stock exchange published in 2006"


Posted Content
TL;DR: In this paper, the short run interdependence of prices and price volatility across three major international stock markets is studied using the autoregressive conditionally heteroskedastic (ARCH) family of statistical models.
Abstract: The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.

1,780 citations


Journal ArticleDOI
TL;DR: In this paper, the authors investigated the relationship between the corporate governance structure and performance of 347 companies listed on the Kuala Lumpur Stock Exchange (KLSE) between 1996 and 2000, and found a significant relationship between multiple directorships and market performance while role duality and managerial shareholdings are significantly associated with accounting performance.
Abstract: This study investigates the relationship between the corporate governance structure and performance of 347 companies listed on the Kuala Lumpur Stock Exchange (KLSE) between 1996 and 2000. We found board size and top five substantial shareholdings to be significantly associated with both market and accounting performance measures. In addition, we found a significant relationship between multiple directorships and market performance while role duality and managerial shareholdings are significantly associated with accounting performance. The result is robust with respect to controls for gearing, company size, industry membership and growth opportunities.

1,093 citations


Journal ArticleDOI
TL;DR: Choi et al. as mentioned in this paper reported strong OLS and instrumental variable evidence that an overall corporate governance index is an important and likely causal factor in explaining the market value of Korean public companies.
Abstract: We report strong OLS and instrumental variable evidence that an overall corporate governance index is an important and likely causal factor in explaining the market value of Korean public companies. We construct a corporate governance index (KCGI, 0~100) for 515 Korean companies based on a 2001 Korea Stock Exchange survey. In OLS, a worst-to-best change in KCGI predicts a 0.47 increase in Tobin's q (about a 160% increase in share price). This effect is statistically strong (t = 6.12) and robust to choice of market value variable (Tobin's q, market/book, and market/sales), specification of the governance index, and inclusion of extensive control variables. We rely on unique features of Korean legal rules to construct an instrument for KCGI. Good instruments are not available in other comparable studies. Two-stage and three-stage least squares coefficients are larger than OLS coefficients and are highly significant. Thus, this paper offers evidence consistent with a causal relationship between an overall governance index and higher share prices in emerging markets. We also find that Korean firms with 50% outside directors have 0.13 higher Tobin's q (roughly 40% higher share price), after controlling for the rest of KCGI. This effect, too, is likely causal. Thus, we report the first evidence consistent with greater board independence causally predicting higher share prices in emerging markets.

1,063 citations


Posted Content
TL;DR: The authors examined the information transmission mechanism linking oil futures with stock prices, where they examined the lead and lag cross-correlations of returns in one market with the others and investigated the dynamic interactions between oil futures prices traded on the New York Mercantile Exchange (NYMEX) and US stock prices.
Abstract: This study analyzes the information transmission mechanism linking oil futures with stock prices, where we examine the lead and lag cross-correlations of returns in one market with the others We investigate the dynamic interactions between oil futures prices traded on the New York Mercantile Exchange (NYMEX) and US stock prices, which allows us to examine the effects of energy shocks on financial markets In particular, we examine the extent to which these markets are contemporaneously correlated, with particular attention paid to the association of oil price indexes with the SP 12 major industry stock price indices and 3 individual oil company stock price series We also examine the extent to which price changes or returns in one market dynamically lead returns in the others and whether volatility spillover effects exist across these markets Using VAR model estimates for various time series of returns we find that petroleum industry stock index and our three oil company stocks are the only series where we can reject the null hypothesis that oil futures do not lead Treasury Bill rates and stock returns, while we can reject the hypothesis that oil futures lag these other two series Finally, the return volatility evidence for oil futures leading individual oil company stocks is much weaker than is the evidence for returns themselves

940 citations


Journal ArticleDOI
TL;DR: In this article, the authors investigate the extent to which corporate governance attributes, ownership structure and company characteristics influence the extent of voluntary disclosure in a developing country, namely Kenya, and find that the presence of an audit committee is a significant factor associated with the level of disclosure.
Abstract: There has been considerable research in respect of voluntary disclosure by companies and factors that may explain such disclosure. However, most of the research has been centred in developed countries. This study extends the previous literature by examining voluntary disclosure in a developing country, namely Kenya. Over the last decade, the Kenyan Government has initiated several far-reaching reforms at the Nairobi Stock Exchange (NSE) in order to mobilise domestic savings and attract foreign capital investment. These measures include privatisation of state corporations through the stock exchange and allowing foreign investors to own shares in the listed companies. This study provides a longitudinal examination of voluntary disclosure practices in the annual reports of listed companies in Kenya from 1992 to 2001. The study investigates the extent to which corporate governance attributes, ownership structure and company characteristics influence voluntary disclosure practices. Our results suggest that the extent of voluntary disclosure is influenced by a firm's corporate governance attributes, ownership structure and company characteristics. The presence of an audit committee is a significant factor associated with the level of voluntary disclosure, and the proportion of non-executive directors on the board is found to be significantly negatively associated with the extent of voluntary disclosure. The study also finds that the levels of institutional and foreign ownership have a significantly positive impact on voluntary disclosure. Large companies and companies with high debt voluntarily disclose more information. In contrast, board leadership structure, liquidity, profitability and type of external audit firm do not have a significant influence on the level of voluntary disclosure by companies in Kenya.

885 citations


Journal ArticleDOI
TL;DR: Gov-score as discussed by the authors is a summary governance measure based on 51 firm-specific provisions representing both internal and external governance, and they show that a parsimonious index based on seven provisions underlying Gov-Score fully drives the relation between Gov-score and firm value.

875 citations


Posted Content
TL;DR: In this article, the authors investigated the relationship between corporate profitability and working capital management and established a relationship that is statistically significant between profitability, the cash conversion cycle and its components for listed firms in the ASE.
Abstract: In this paper we investigate the relationship of corporate profitability and working capital management. We used a sample of 131 companies listed in the Athens Stock Exchange (ASE) for the period of 2001-2004. The purpose of this paper is to establish a relationship that is statistically significant between profitability, the cash conversion cycle and its components for listed firms in the ASE. The results of our research showed that there is statistical significance between profitability, measured through gross operating profit, and the cash conversion cycle. Moreover managers can create profits for their companies by handling correctly the cash conversion cycle and keeping each different component (accounts receivables, accounts payables, inventory) to an optimum level.

837 citations


Journal ArticleDOI
TL;DR: In this paper, the authors find that customer satisfaction, as measured by the American Customer Satisfaction Index (ACSI), is significantly related to market value of equity and that satisfied customers are economic assets with high returns/low risk.
Abstract: Do investments in customer satisfaction lead to excess returns? If so, are these returns associated with higher stock market risk? The empirical evidence presented in this article suggests that the answer to the first question is yes, but equally remarkable, the answer to the second question is no, suggesting that satisfied customers are economic assets with high returns/low risk. Although these results demonstrate stock market imperfections with respect to the time it takes for share prices to adjust, they are consistent with previous studies in marketing in that a firm's satisfied customers are likely to improve both the level and the stability of net cash flows. The implication, implausible as it may seem in other contexts, is high return/low risk. Specifically, the authors find that customer satisfaction, as measured by the American Customer Satisfaction Index (ACSI), is significantly related to market value of equity. Yet news about ACSI results does not move share prices. This apparent inco...

814 citations


Journal ArticleDOI
TL;DR: In this paper, the impact of oil price changes on a large set of emerging stock market returns was investigated using an international multi-factor model that allows for both unconditional and conditional risk factors.

685 citations


Journal ArticleDOI
TL;DR: In this article, the authors used a unique dataset provided by Institutional Shareholder Services (ISS) to relate 51 governance provisions to firm operating performance as proxied by return on assets and return on equity.
Abstract: Using a unique dataset provided by Institutional Shareholder Services (ISS), we relate 51 governance provisions to firm operating performance as proxied by return on assets and return on equity. We show that seven (six) governance provisions are significantly and positively related to return on assets (equity) using at least two of three econometric approaches. We identify 10 corporate governance provisions that are positively linked to return on assets, return on equity or both using at least two of our three econometric approaches. Nine of the corporate governance provisions we examine have recently been mandated by the three major U.S. stock exchanges but only one of them, nominating committee is comprised solely of independent outside directors, is significantly and positively related to firm operating performance. Our results reveal that the corporate governance reforms recently mandated by the three major U.S. stock exchanges are not more closely linked to firm operating performance than are those not so mandated.

433 citations


Journal ArticleDOI
TL;DR: In this paper, the performance and behavior of family firms listed on the French stock exchange between 1994 and 2000 was investigated. And they found that, in the cross section, family firms largely outperform widely held corporations.
Abstract: This paper empirically documents the performance and behavior of family firms listed on the French stock exchange between 1994 and 2000 On the French stock market, approximately one third of the firms are widely held, another third are founder-controlled and the remaining third are heir-controlled family firms We find that, in the cross section, family firms largely outperform widely held corporations This result holds for founder controlled firms, professionally managed family firms, but more surprisingly also for firms run by descendants of the founder We then propose explanations that differ according to the identity of the management in the family firm First, we offer evidence of a more efficient use of labor in heir-managed firms These firms pay lower wages, even allowing for skill and age structure within the firm We also find that descendants smooth out industry shocks and manage to honor implicit labor contracts Secondly, we present evidence consistent with outside CEOs in family firms making a more parsimonious use of capital They employ more unskilled, cheap labor, use less capital, pay lower interest rates on debt and initiate more profitable acquisitions

Journal ArticleDOI
TL;DR: In this article, the authors examined the presence of herd formation in Chinese markets using both individual firm and sector-level data and found that return dispersions during extreme downside movements of the market are much lower than those for upside movements, indicating that stock returns behave more similarly during down markets.

Journal ArticleDOI
TL;DR: In this paper, an attempt is made to test the validity of theories employed in the literature to explain variation in the extent of corporate voluntary disclosure within the corporate social disclosure context, and the outcome of the study lends partial support to agency theory, political economy theory, legitimacy theory, stakeholder theory as well as the accountability approach.

Journal ArticleDOI
TL;DR: The evolution of the structural properties of the market graph over time is studied and conclusions regarding the dynamics of the stock market development are drawn based on the interpretation of the obtained results.

Posted Content
TL;DR: In this paper, the authors study changes in liquidity following the introduction of a new electronic limit order market when trading is centralized in a single-limit order market and also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets.
Abstract: We study changes in liquidity following the introduction of a new electronic limit order market when, prior to its introduction, trading is centralized in a single limit order market. We also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets. The theoretical analysis yields three main predictions: (i) consolidated depth is larger in the multiple limit order markets environment, (ii) consolidated bid-ask spread is smaller in the multiple limit order markets environment and (iii) the liquidity of the entrant market relative to that of the incumbent market increases with the level of automation for routing decisions (the proportion of 'smart routers'). We test these predictions by studying the rivalry between the London Stock Exchange (entrant) and Euronext (incumbent) in the Dutch stock market. The main predictions of the model are supported.

Journal ArticleDOI
TL;DR: In this article, the effect of stock market development on economic growth in 14 African countries in a dynamic panel data modelling setting was studied and the results revealed that the positive influence of market development was significant for countries classified as upper middle income economies.
Abstract: This paper studies the effect of stock market development on economic growth in 14 African countries in a dynamic panel data modelling setting. Results largely show a positive relationship between stock market development and economic growth. Further analyses, based on the level of economic development and stock market capitalization, are also conducted. The results reveal that the positive influence of stock market development on economic growth is significant for countries classified as upper middle income economies. On the basis of market capitalization groupings, stock market developments play a significant role in growth only for moderately capitalized markets. The general trend in results shows that low income African countries and less developed stock markets need to grow more and develop their markets to elicit economic gains from stock markets.

Journal ArticleDOI
TL;DR: In this article, the authors examine a primary outcome of corporate governance, namely, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross-listed firms.
Abstract: We examine a primary outcome of corporate governance, namely, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross-listed firms. We find that firms from weak investor protection regimes that are cross-listed on a major U.S. Exchange are more likely to terminate poorly performing CEOs than non-cross-listed firms. Cross-listings on exchanges that do not require the adoption of stringent investor protections (OTC, private placements, and London listings) are not associated with a higher propensity to remove poorly performing CEOs. DOES CROSS-LISTING IN THE UNITED STATES IMPROVE the corporate governance of foreign firms? The “bonding hypothesis” proposed by Coffee (1999, 2002) and Stulz (1999) predicts that after listing on a major U.S. stock exchange, foreign firms become subject to stringent U.S. investor protections that constrain insiders from expropriating minority shareholders. Because this hypothesis has important implications for the effectiveness of U.S. laws and enforcement as well as the efficacy of market-based approaches in improving global corporate governance, it has attracted the recent attention of academics and practitioners alike. To date, empirical support for the bonding hypothesis is principally drawn from the large literature that examines the economic consequences of crosslisting in the United States. 1 However, as Leuz (2006) notes, the evidence in many of these studies is fairly indirect, as it is difficult to attribute the economic consequences of cross-listing directly to the bonding hypothesis because many

Journal ArticleDOI
TL;DR: Li et al. as mentioned in this paper found statistically significant sensitivities and elasticities of annual cash compensation (salary and bonus) for top executives with respect to shareholders' value in China.
Abstract: This article provides evidence on how executive compensation relates to firm performance in firms listed in the Shanghai and Shenzhen Stock Exchanges in China. Using comprehensive financial and accounting data on China’s listed firms from 1998 to 2002, augmented by unique data on executive compensation and ownership structure, we find for the first time statistically significant sensitivities and elasticities of annual cash compensation (salary and bonus) for top executives with respect to shareholder value in China. In addition, sales growth is shown to be significantly linked to executive compensation, and Chinese executives are penalized for making negative profits, although they are neither penalized for declining profits nor rewarded for rising profits insofar as profits are positive. Perhaps more important, we find that the ownership structure of China’s listed firms has important effects on the pay‐performance link in these firms. Specifically, state ownership of China’s listed firms weake...

Journal ArticleDOI
TL;DR: This article analyzed all trading activity on the Taiwan Stock Exchange (TSE) for the five years ending in 1999 and found that investors in Taiwan are twice as likely to sell a stock if they are holding that stock for a gain rather than as loss.
Abstract: We ask whether the typical investor and the aggregate investor exhibit a bias known as the disposition effect, the tendency to sell investments are held for a profit at a faster rate than investments held for a loss. We analyze all trading activity on the Taiwan Stock Exchange (TSE) for the five years ending in 1999. Using a dataset that contains all trades (over one billion) and the identity of every trader (nearly four million), we find that in aggregate, investors in Taiwan are about twice as likely to sell a stock if they are holding that stock for a gain rather than as loss. Eighty-four percent of all Taiwanese investors sell winners at a faster rate than losers. Individuals, corporations, and dealers are reluctant to realize losses, while mutual funds and foreigners, who together account for less than five percent of all trades (by value), are not.

Journal ArticleDOI
TL;DR: In this paper, the authors evaluate the T&D practices of the 52 largest and most liquid firms in the Istanbul Stock Exchange (ISE), based on their English and local language annual reports and websites.
Abstract: Recent financial reporting and auditing scandals on both sides of the Atlantic have led to a global realization of the importance of sound corporate governance (CG) practices in alleviating the agency problems in the corporate form of business and for efficient allocation of capital in international markets. Transparency and disclosure (T&D) practices followed by firms are an important component and a leading indicator of CG quality. Transparent and full-disclosure of information is especially vital for Turkey where external capital is necessary to sustain the high growth rate and the biggest agency problem centers on asymmetric information and expropriation by majority shareholders. We collaborate with Standard and Poor’s (S&P) and base our survey on their scoring methodology, a customized version of the 98 desirable T&D attributes they used in several other countries, and their classification of the attributes into three categories: ownership structure and investor relations, financial transparency and information disclosure, and board and management structures and processes. We evaluate the T&D practices of the 52 largest and most liquid firms in the Istanbul Stock Exchange (ISE), based on their English and local language annual reports and websites. Our rankings provide a first time, objective assessment of the corporate disclosure practices of ISE firms and uncover that they are, at best, moderate and vary with respect to the three sub-categories of T&D. We also consider a simple model that sequentially links agency problems to CG/T&D mechanisms in place which, in turn impact firm-level and economy-wide financial performance. Concentrating on the causal side of the model -- the determinants of T&D scores --, we provide out-of-sample evidence that among the commonly used proxies for agency conflicts, firm size, financial performance, market-to-book equity best explain the variation in T&D scores in the ISE. While our results provide considerable support for prior findings in developed markets, they also shed light on how specific agency problems faced by the ISE firms impact their T&D scores.

Journal ArticleDOI
TL;DR: In this article, beneficial associations between the information environment in emerging stock markets and changes in openness to foreign equity investors reflected in legal, regulatory, and cross-listing events, the fraction of stock available to foreign investors, and the size of U.S. portfolio flows are found.

Book ChapterDOI
TL;DR: In the wake of substantial empirical evidence, recent decades have seen economists devoting considerable attention to the study of the interrelationship between financial variables and the processes of real resource allocation.
Abstract: In the wake of substantial empirical evidence, recent decades have seen economists devoting considerable attention to the study of the interrelationship between financial variables and the processes of real resource allocation. These studies have directed their efforts towards challenging the idea of an existing dichotomy between the real and financial worlds, which has long been assumed by a large part of the literature, and has found strong theoretical support in the Modigliani and Miller (1958) theorem.

Journal ArticleDOI
TL;DR: Li et al. as mentioned in this paper investigated the operating performance of privatized firms and found that there is a decline in profitability and asset utilization in the five years after privatization and this contrasts with the results for privatizations in other countries, which show improvements in financial performance.

Journal ArticleDOI
TL;DR: Empirical experimentation suggests that the SVM outperforms the other classification methods in terms of predicting the direction of the stock market movement and random forest method outperforms neural network, discriminant analysis and logit model used in this study.
Abstract: There exists vast research articles which predict the stock market as well pricing of stock index financial instruments but most of the proposed models focus on the accurate forecasting of the levels (i.e. value) of the underlying stock index. There is a lack of studies examining the predictability of the direction/sign of stock index movement. Given the notion that a prediction with little forecast error does not necessarily translate into capital gain, this study is an attempt to predict the direction of S&P CNX NIFTY Market Index of the National Stock Exchange, one of the fastest growing financial exchanges in developing Asian countries. Random forest and Support Vector Machines (SVM) are very specific type of machine learning method, and are promising tools for the prediction of financial time series. The tested classification models, which predict direction, include linear discriminant analysis, logit, artificial neural network, random forest and SVM. Empirical experimentation suggests that the SVM outperforms the other classification methods in terms of predicting the direction of the stock market movement and random forest method outperforms neural network, discriminant analysis and logit model used in this study.

Journal ArticleDOI
TL;DR: In this article, the authors report on the results of an empirical investigation of the factors that affect timely annual financial reporting practices by 95 non-financial, group companies listed on the Athens Stock Exchange.
Abstract: This paper reports on the results of an empirical investigation of the factors that affect timely annual financial reporting practices by 95 non-financial, group companies listed on the Athens Stock Exchange. A descriptive analysis indicates that 92% of the companies reported early (relative to the 161-day regulatory deadline), 3% reported on the 161st day and 5% reported late. A multivariate regression analysis suggests that large companies, service companies and companies audited by the former Big-5 audit firms have shorter final reporting lead-time. Our tests provide strong empirical evidence to suggest, however, that companies in the construction sector, companies whose audit reports were qualified and companies that had a greater proportion of their equity shares directly and indirectly held by insiders do not promptly release their audited financial statements. No empirical evidence was found in support of the monitoring cost theory. Policy implications of the results for the regulatory age...

Journal ArticleDOI
TL;DR: The authors investigated the long-term relationship between financial market development and economic development in Belgium and found strong evidence that stock market development caused economic growth in Belgium, especially in the period between 1873 and 1935.

Journal ArticleDOI
TL;DR: In this article, the authors provide an empirical test of the effectiveness of two systems of corporate governance, namely, the two-tier supervisory board and the one-tier board, for the largest companies listed on the stock exchanges in Frankfurt and London over a total of 400 financial years.
Abstract: Germany and the UK are paradigms of systems in which the control of managing directors of companies either lies in the hand of a separate supervisory board (two-tier system) or is an additional task of the board itself (one-tier system). This paper provides for an empirical test of the effectiveness of both systems of corporate governance. The analysis of the financial performance and board turnover of the largest companies listed on the stock exchanges in Frankfurt and London over a total of 400 financial years establishes that both systems are effective means of control. Yet the analysis also demonstrates that it is not possible to assign superiority to either of them. Therefore, the often raised question as to whether one of the two systems will finally prevail and whether there will be ultimate convergence of both systems, has to be answered in the negative. As the discussion of the strengths and weaknesses will show, however, there is still scope for improvements in each of the two board models.

Posted Content
TL;DR: Wang et al. as mentioned in this paper discuss the institution of independent directors and the Independent Director Opinion specifically, as a potential solution to Chinese corporate governance problems, and argue that proponents of the independent directors misconceive the nature of the corporate governance problem in China and have not taken into account specific features of the Chinese institutional environment - particularly the legal environment - that affect the viability of any proposed solution.
Abstract: Corporate governance (gongsi zhili) is a concept whose time has come in China, and the institution of the independent director is a major part of this concept. Policymakers in several countries such as the United Kingdom and Japan have turned to independent directors as an important element of legal and policy reform in the field of corporate governance. In August 2001, the China Securities Regulatory Commission (CSRC) issued its Guidance Opinion on the Establishment of an Independent Director System in Listed Companies. Covering all companies listed on Chinese stock exchanges (but not Chinese companies listed overseas), it constitutes the most comprehensive measure taken to date by the CSRC - or indeed by any Chinese governmental authority - to regulate internal corporate governance through the institution of the independent director.This article discusses the institution of independent directors, and the Independent Director Opinion specifically, as a potential solution to Chinese corporate governance problems. It begins by discussing special features of the Chinese corporate landscape and the most prominent problems in the area of corporate governance. It then proceeds to identify differing conceptions of what is broadly termed the independent director - the outside director, the disinterested director, and the (more narrowly defined) independent director - and discusses the approaches taken in several different jurisdictions.The article canvasses empirical research on the relationship between independent directors and corporate performance in the United States, as well as in China, and finds that the research yields similar conclusions: there is no strong link. The article concludes by arguing that proponents of the institution of independent directors misconceive the nature of the corporate governance problem in China, as well as the functioning of independent directors in the United States, and have not taken into account specific features of the Chinese institutional environment - particularly the legal environment - that affect the viability of any proposed solution.

Posted Content
TL;DR: Kim et al. as discussed by the authors reported strong OLS and instrumental variable evidence that an overall corporate governance index is an important and likely causal factor in explaining the market value of Korean public companies.
Abstract: We report strong OLS and instrumental variable evidence that an overall corporate governance index is an important and likely causal factor in explaining the market value of Korean public companies. We construct a corporate governance index (KCGI, 0~100) for 515 Korean companies based on a 2001 Korea Stock Exchange survey. In OLS, a worst-to-best change in KCGI predicts a 0.47 increase in Tobin's q (about a 160% increase in share price). This effect is statistically strong (t = 6.12) and robust to choice of market value variable (Tobin's q, market/book, and market/sales), specification of the governance index, and inclusion of extensive control variables. We rely on unique features of Korean legal rules to construct an instrument for KCGI. Good instruments are not available in other comparable studies. Two-stage and three-stage least squares coefficients are larger than OLS coefficients and are highly significant. Thus, this paper offers evidence consistent with a causal relationship between an overall governance index and higher share prices in emerging markets. We also find that Korean firms with 50% outside directors have 0.13 higher Tobin's q (roughly 40% higher share price), after controlling for the rest of KCGI. This effect, too, is likely causal. Thus, we report the first evidence consistent with greater board independence causally predicting higher share prices in emerging markets. † Earlier versions of this paper were presented at American Law and Economics Association, (Second) Asian Conference on Corporate Governance, European Financial Management Association, Haas School of Business at University of California, Berkeley, Harvard Law School, International Monetary Fund, Korea America Economic Association annual meeting, Korea Association of Industrial Organization, KDI School of Public Policy and Management, Korea Fair Trade Commission, Korean Financial Association, (8th) Mitsui Life Symposium on Global Financial Markets, National Bureau of Economic Research Conference on Corporate Governance, Seoul National University College of Business Administration, Stanford Graduate School of Business, Stanford Law School, University of Chicago Law School, University of Texas Law School, and World Bank. We thank Wenton Zheng for research assistance and Stephen Bainbridge, Lucian Bebchuk, Harold Demsetz, John Donohue, Jeffrey Gordon, Daniel Hamermesh, Miyajima Hideaki, Ji-Sang Jang, Simon Johnson, Louis Kaplow, E. Han Kim, Kate Litvak, Florencio Lopez-de-Silanes, Inessa Love, Stephen Magee, Jun Qian, Trond Randoy, Mark Roe, Hyun-Han Shin, Jeff Strnad, Michael Weisbach, and Bernard Yeung for comments on earlier drafts. * Updated affiliation: Chabraja Professor at Northwestern University, Law School and Kellogg School of Management. Tel. 312-503-2784, email: bblack@northwestern.edu ** Professor of Finance, Korea University Business School, Anam-Dong, Sungbuk-Ku, Seoul, Korea 136-701. Tel: (+82-2) 3290-1929, e-mail: jangya@chollian.net *** Updated affiliation: Professor of Finance, Korea University Business School, Anam-Dong, Sungbuk-Ku, Seoul, Korea 136-701. Tel: (+82-2) 3290-2816, e-mail: wckim@korea.ac.kr

Journal ArticleDOI
TL;DR: In this article, the authors used both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets and found that while the day of the week effect is not present in the majority of the emerging markets studied, some emerging markets do exhibit strong day-ofthe-week effects even after accounting for conditional market risk.
Abstract: This study uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. The results in this study show that while the day-of-the-week effect is not present in the majority of emerging stock markets studied, some emerging stock markets do exhibit strong day-of-the-week effects even after accounting for conditional market risk.