Return and risk premium seasonalities in three emerging Asian markets: Hong Kong, Korea and Taiwan

Yan Leung Stephen CHEUNG, Richard Yan Ki HO, Kwok Fai Kenneth WONG

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6 Citations (Scopus)

Abstract

In this study, we find that seasonal return patterns differ from that implied by risk premiums in three emerging Asian markets; namely, Hong Kong, Korea and Taiwan. Positive January seasonal returns are found in the Hong Kong and Taiwan markets, while positive February seasonal returns are also found in Taiwan. These findings suggest that investors should place their money in these markets during January but not for the months of June and December in Korea, and for the months of May and November in Taiwan. Corporate managers should also be aware of the need to adjust for such seasonal variations when they use market data to evaluate the risk premium or required rate of return for projects in these markets. The results also show that the size effect may also be priced in some of these markets. Copyright © 1994 John Wiley & Sons, Inc. All Rights Reserved

Original languageEnglish
Pages (from-to)223-241
JournalJournal of International Financial Management & Accounting
Volume5
Issue number3
DOIs
Publication statusPublished - Oct 1994

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Hong Kong
Korea
Taiwan
Seasonality
Emerging Asian markets
Risk premium
Investors
Rate of return
Seasonal variation
Market data
Managers

Bibliographical note

Cheung, Y.-L., Ho, R. Y.-K., & Wong, K.-F. (1994).Return and risk premium seasonalities in three emerging Asian markets: Hong Kong, Korea and Taiwan. Journal of International Financial Management & Accounting, 5(3), 223-241.