||The Friday Effect in Asian Securitized Real Estate Returns:Comparison between Asian Countries
||The Friday Effect in Asian Securitized Real Estate Returns:Comparison between Asian Countries
||Institute of International Management
Turn of-the-year Effect
Securitized Real Estate
This paper extends the research regarding the day of the week effect towards Asian securitized real estate returns. Nowadays, indirect investing on real estate securitized is foreseeable to become more and more popular. Real estate market is an attractive and profitable sector for investors to invest their assets as it takes small and very valuable risks. Numerous study on financial economics have documented the day of the week effect in daily returns has been one beneficial field to be studied. Friday effect in financial economics define as an abnormally on stock returns, which positive high returns on the end of the week and negative lower returns on the beginning of the week.
As this paper extends research on the day of the week effect to Asian securitized real estate, the daily mean returns of 4 Asian countries including China, Hong Kong, Japan, and Singapore, from 2004 to 2013 were investigated using regression analysis. The results suggest that Friday effect exist in some Asian countries. On other hand, Friday effect is identified to be different with other effect that relate to the day of the week effect. Also, there is an abnormally large autocorrelation pattern between return’s on Fridays and Mondays. The Friday effect could also be explained by the trading behavior of investors.
TABLE OF CONTENTS III
LIST OF TABLES VI
LIST OF FIGURES VIII
CHAPTER ONE INTRODUCTION 1
1.1 Research Background and Motivation. 1
1.1.1 Background. 1
1.1.2 Motivation. 3
1.2 Research Objectives. 5
1.3 Research Gaps. 6
1.4 Research Structure. 7
CHAPTER TWO LITERATURE REVIEW 9
2.1 Empirical Background: Brief Review of Friday Effect. 9
2.1.1 Friday Effect Theories. 9
2.1.2 Friday Effect: World Wide Perspective. 11
2.2 Factors Affecting Friday Effect. 15
2.2.1 Trading and Non-Trading Period. 15
2.2.2 Market Change. 15
2.2.3 Other Factors. 16
2.3 Recent Developments on Friday Effect. 17
2.3.1 Correlation of Friday with the Following Monday. 17
2.4 Turn-of-the-year Effect. 18
2.5 Real Estate. 19
2.5.1 The Friday Effect in Real Estate. 19
2.5.2 Calendar Effects and Real Estate Securities. 21
2.6 Summary of Reviewed Literatures. 21
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 26
3.1 Framework of the Study. 26
3.1.1 Return Calculation. 27
3.2 Methodology. 28
3.2.1 Friday Effect Test. 28
3.2.2 Expected Results of the Friday Effect Test. 29
3.2.3 Day-of-the-week Autocorrelations. 30
3.2.4 Expected Result of Autocorrelation Test. 32
3.2.5 Robustness Test of Friday Effect. 33
3.2.6 Turn-of-the-year Effect. 33
3.3 Procedures and Objectives of Test. 34
3.3.1 Procedures of Test. 34
CHAPTER FOUR RESEARCH RESULTS 37
4.1 Descriptive Statistics. 37
4.2 Correlation Matrix of Variables. 38
4.3 Testing for the Friday Effect. 40
4.4 Empirical Results on the Autocorrelation Tests. 44
4.5 Empirical Results for the Robustness Tests. 57
4.6 Empirical Results for the Turn-of-the-year Tests. 61
4.7 Conclusion Remarks. 64
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 68
5.1 Research Conclusion. 68
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