To check for seasonality (day-of-the-week effect) in stock returns of South Korea, Malaysia, the Philippines, Taiwan and Thailand, Brooks and Persand (2001) regress daily returns in each of these countries' stock market on five dummy variables D1 to D5 representing each day of the week i.e. D1 for Mondays, D2 for Tuesdays, D3 for Wednesdays, D4 for Thursdays and D5 for Fridays: Their results were:
-Which market(s) did not display any evidence of day-of-the-week effect?
A) Thailand, Malaysia and Taiwan
B) Philippines only
C) South Korea only
D) South Korea and Philippines

Question

To check for seasonality (day-of-the-week effect) in stock returns of South Korea, Malaysia, the Philippines, Taiwan and Thailand, Brooks and Persand (2001) regress daily returns in each of these countries' stock market on five dummy variables D1 to D5 representing each day of the week i.e. D1 for Mondays, D2 for Tuesdays, D3 for Wednesdays, D4 for Thursdays and D5 for Fridays:  Their results were: 
-Which market(s) did not display any evidence of day-of-the-week effect?
A) Thailand, Malaysia and Taiwan 
B) Philippines only 
C) South Korea only 
D) South Korea and Philippines

Quizplus · Accepted Answer

South Korea and Philippines did not show evidence of the day-of-the-week effect, meaning that there was no consistent pattern of returns based on the day of the week in these markets.

To Check for Seasonality (Day-Of-The-Week Effect) in Stock Returns of South