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Lookup NU author(s): Dr Vu TrinhORCiD
This is the authors' accepted manuscript of an article that has been published in its final definitive form by Inderscience, 2021.
For re-use rights please refer to the publisher's terms and conditions.
While an extensive body of literature has investigated the existence of the day-of-the-week anomaly in different stock markets globally, their findings can only provide implications for potential arbitrage opportunities for domestic investors in the investigated markets. We, therefore, add to these studies by investigating the possibility of international arbitrage activities using such an anomaly, after accounting for currency risk. Initially, we re-confirm the disappearance of the effect in the US market (S&P500), implying that US domestic investors can no longer exploit the day-of-the-week trading strategy in their home market. Further, we test whether investors who use the US dollar as the main trading currency (including US investors) can exploit the anomaly in foreign markets. We employ the daily values of representative indices and the national currencies of the three ASEAN countries (Singapore, Thailand and Malaysia) from 1995 to 2014. We find that the anomaly is evident in all three markets and can be exploited by foreign investors. Furthermore, the Thai exchange is the best investment destination for foreign investors with the highest returns and lowest currency risk. The profitability of this trading strategy is independent of economic activities and significantly dependent on the performance and conditions of the financial markets.
Author(s): Cao DN, Trinh VQ, Nguyen TQ
Publication type: Article
Publication status: Published
Journal: International Journal of Banking, Accounting and Finance
Year: 2021
Volume: 12
Issue: 2
Pages: 118-140
Online publication date: 01/03/2021
Acceptance date: 23/09/2019
Date deposited: 22/05/2021
ISSN (print): 1755-3830
ISSN (electronic): 1755-3849
Publisher: Inderscience
URL: https://doi.org/10.1504/IJBAAF.2021.114474
DOI: 10.1504/IJBAAF.2021.114474
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