Seasonal pattern in volatility in Asian stock markets

Richard Yan Ki HO, Yan Leung Stephen CHEUNG

Research output: Contribution to journalArticlespeer-review

27 Citations (Scopus)


Using the Levene test, it is found that there exist day-of-the-week variations in volatility in most of the emerging Asian stock markets. Monday returns, in general, have the lowest volatility for all the emerging Asian markets except Korea. Three of the five markets that have significant day-of-the-week effect in volatility have the lowest volatility on the last trading day of the week. It is also found that the close-market effect is not a good explanation of the volatility pattern across day-of-the-week. Copyright © 1994 Taylor & Francis Group, LLC. All rights reserved.

Original languageEnglish
Pages (from-to)61-67
JournalApplied Financial Economics
Issue number1
Publication statusPublished - Feb 1994


Ho, R. Y.-K., & Cheung, Y.-L. (1994). Seasonal pattern in volatility in Asian stock markets. Applied Financial Economics, 4(1), 61-67.


Dive into the research topics of 'Seasonal pattern in volatility in Asian stock markets'. Together they form a unique fingerprint.