Trading Procedures, Evolving Settlement Systems and The Day of Week Effect in the U. K. and French Stock Markets

• 발행기관: 강원대학교 경영경제연구소
• 저자명: Kyung-Won Kim
• 간행물 정보: 『아태비즈니스연구』제11권 제2호, 15~25쪽, 전체 11쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2020.06.30

영문 초록

Purpose - The purpose of this study is to examine whether the change of settlement procedures have an impact on the distribution of day of the week effect in the UK and French markets or not. U.K and France changed their systems from fixed settlement date systems to fixed settlement lag systems Design/methodology/approach - This study adopted the data of the specific stock market indices such as FTSE 100 in the U.K market and FRCAC 40 in the French market, This study constructs a test of the differences in mean returns across the days of the week by computing the regression equations for each country index. Findings - First, this study found that the evolving settlement procedures in stock exchanges have an effect on stock return of day of the week. Second, long-run improvements in market efficiency may have diminished the effects of certain anomalies in recent periods. Improvements in market efficiency and evolving settlement systems may cause the disappearance of the weekend effect. Research implications or Originality - The Implication of this study is that recent settlement systems contributed to the disappearance of the weekend effect and explains improvements in market efficiency and diminishments of market anomaly. This study may be the first study which examines whether evolving settlement systems have an effect on the disappearance of the weekend effect in the market or not.

목차

I. Introduction

II. Data, Methodology and Hypotheses

III. Empirical Results

IV. Summary and Conclusions

References

키워드

Day of the Week Effect Market Efficiency Settlement Systems