Overreaction and seasonality in Asian stock indices: Evidence from Korea, Hong Kong and Japan

Abstract

This chapter examines investor overreaction and seasonality in the stock markets of Korea, Hong Kong and Japan using data for the period of 1985–2004. Evidence suggests little to no reversals following days of excessive increase, but all three indices reversed 35% to 45% following days of excessive decline. Seasonality analysis revealed month-of-the-year effects, day-of-the-week effects, the Friday (weekend) effect and the January effect. The Monday effect was not evident.

Citation

Schaub, M., Song Lee, B. and Eae Chun, S. (2008), "Overreaction and seasonality in Asian stock indices: Evidence from Korea, Hong Kong and Japan", Chen, A.H. (Ed.) Research in Finance (Research in Finance, Vol. 24), Emerald Group Publishing Limited, Leeds, pp. 169-195. https://doi.org/10.1016/S0196-3821(07)00207-9