ANALYSIS THE PRESENCE OF THE-DAY-OF-THE-WEEK-EFFECT ON STOCK RETURN, VOLATILITY RETURN AND CORRELATION

Abstract

This research aims to identify the presence the-day-of-the-week effect phenomenon toward nine Asian composite indexes which are Jakarta Composite Index, Straits Times Index, Korea Composite Stock Price index, Nihon Keizai Shimbun (Japan), Shanghai Stock Exchange Composite Index, Hong Kong Hang Seng Composite Index, National Stock Exchange of India. Instead of finding the occurrence of the-day-of-the-week-effect presence, this research also given the new finding of correlation of Asian composite index one to another and give authentic finding about the newest comparison from past research. Despite that this research examined during the global crisis period, it is quite interesting research because this research give authentic information to investor how to depict the Asian Capital market. Moreover with this research help researcher to dig the cyclical condition about global phenomenon toward Asian capital market.