id	sid	tid	token	lemma	pos
ajfa-525	1	1	microsoft	microsoft	PROPN
ajfa-525	1	2	word	word	PROPN
ajfa-525	1	3	preholiday	preholiday	NOUN
ajfa-525	1	4	returns	return	NOUN
ajfa-525	1	5	and	and	CCONJ
ajfa-525	1	6	volatility	volatility	NOUN
ajfa-525	1	7	in	in	ADP
ajfa-525	1	8	thai	thai	PROPN
ajfa-525	1	9	stock	stock	NOUN
ajfa-525	1	10	market	market	NOUN
ajfa-525	1	11	(	(	PUNCT
ajfa-525	1	12	final	final	ADJ
ajfa-525	1	13	editted)[1]-1.docx	editted)[1]-1.docx	PROPN
ajfa-525	1	14	asian	asian	ADJ
ajfa-525	1	15	 	 	SPACE
ajfa-525	1	16	journal	journal	NOUN
ajfa-525	1	17	 	 	SPACE
ajfa-525	1	18	of	of	ADP
ajfa-525	1	19	 	 	SPACE
ajfa-525	1	20	finance	finance	NOUN
ajfa-525	1	21	 	 	SPACE
ajfa-525	1	22	&	&	CCONJ
ajfa-525	1	23	 	 	SPACE
ajfa-525	1	24	accounting	account	VERB
ajfa-525	1	25	  	  	SPACE
ajfa-525	1	26	issn	issn	PROPN
ajfa-525	1	27	 	 	SPACE
ajfa-525	1	28	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	1	29	  	  	SPACE
ajfa-525	1	30	2010	2010	NUM
ajfa-525	1	31	,	,	PUNCT
ajfa-525	1	32	 	 	SPACE
ajfa-525	1	33	vol	vol	NOUN
ajfa-525	1	34	.	.	PUNCT
ajfa-525	1	35	 	 	SPACE
ajfa-525	2	1	2	2	NUM
ajfa-525	2	2	,	,	PUNCT
ajfa-525	2	3	 	 	SPACE
ajfa-525	2	4	no	no	INTJ
ajfa-525	2	5	.	.	PUNCT
ajfa-525	2	6	 	 	SPACE
ajfa-525	3	1	2	2	NUM
ajfa-525	3	2	,	,	PUNCT
ajfa-525	3	3	   	   	SPACE
ajfa-525	3	4	x	x	NOUN
ajfa-525	3	5	:	:	PUNCT
ajfa-525	3	6	 	 	SPACE
ajfa-525	3	7	e3	e3	VERB
ajfa-525	3	8	      	      	SPACE
ajfa-525	3	9	41	41	NUM
ajfa-525	3	10	  	  	SPACE
ajfa-525	3	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	3	12	  	  	SPACE
ajfa-525	3	13	preholiday	preholiday	NOUN
ajfa-525	3	14	returns	return	NOUN
ajfa-525	3	15	and	and	CCONJ
ajfa-525	3	16	volatility	volatility	NOUN
ajfa-525	3	17	in	in	ADP
ajfa-525	3	18	thai	thai	PROPN
ajfa-525	3	19	stock	stock	NOUN
ajfa-525	3	20	market	market	PROPN
ajfa-525	3	21	nopphon	nopphon	PROPN
ajfa-525	3	22	tangjitprom	tangjitprom	PROPN
ajfa-525	3	23	martin	martin	PROPN
ajfa-525	3	24	de	de	PROPN
ajfa-525	3	25	tours	tours	PROPN
ajfa-525	3	26	school	school	NOUN
ajfa-525	3	27	of	of	ADP
ajfa-525	3	28	management	management	NOUN
ajfa-525	3	29	and	and	CCONJ
ajfa-525	3	30	economics	economic	NOUN
ajfa-525	3	31	,	,	PUNCT
ajfa-525	3	32	assumption	assumption	NOUN
ajfa-525	3	33	university	university	PROPN
ajfa-525	3	34	bangkok	bangkok	PROPN
ajfa-525	3	35	,	,	PUNCT
ajfa-525	3	36	thailand	thailand	PROPN
ajfa-525	3	37	tel	tel	PROPN
ajfa-525	3	38	:	:	PUNCT
ajfa-525	3	39	(	(	PUNCT
ajfa-525	3	40	66	66	NUM
ajfa-525	3	41	)	)	PUNCT
ajfa-525	3	42	8	8	NUM
ajfa-525	3	43	-	-	SYM
ajfa-525	3	44	5815	5815	NUM
ajfa-525	3	45	-	-	SYM
ajfa-525	3	46	6177	6177	NUM
ajfa-525	3	47	email	email	NOUN
ajfa-525	3	48	:	:	PUNCT
ajfa-525	3	49	tnopphon@gmail.com	tnopphon@gmail.com	X
ajfa-525	4	1	received	receive	VERB
ajfa-525	4	2	:	:	PUNCT
ajfa-525	4	3	2010	2010	NUM
ajfa-525	4	4	-	-	SYM
ajfa-525	4	5	12	12	NUM
ajfa-525	4	6	-	-	PUNCT
ajfa-525	4	7	07	07	NUM
ajfa-525	4	8	accepted	accept	VERB
ajfa-525	4	9	:	:	PUNCT
ajfa-525	5	1	2011	2011	NUM
ajfa-525	5	2	-	-	SYM
ajfa-525	5	3	04	04	NUM
ajfa-525	5	4	-	-	PUNCT
ajfa-525	5	5	28	28	NUM
ajfa-525	5	6	doi:10.5296	doi:10.5296	NOUN
ajfa-525	5	7	/	/	SYM
ajfa-525	5	8	ajfa.v2i2.525	ajfa.v2i2.525	PROPN
ajfa-525	5	9	abstract	abstract	ADJ
ajfa-525	5	10	the	the	DET
ajfa-525	5	11	purpose	purpose	NOUN
ajfa-525	5	12	of	of	ADP
ajfa-525	5	13	this	this	DET
ajfa-525	5	14	paper	paper	NOUN
ajfa-525	5	15	is	be	AUX
ajfa-525	5	16	to	to	PART
ajfa-525	5	17	examine	examine	VERB
ajfa-525	5	18	the	the	DET
ajfa-525	5	19	holiday	holiday	NOUN
ajfa-525	5	20	effect	effect	NOUN
ajfa-525	5	21	in	in	ADP
ajfa-525	5	22	thailand	thailand	PROPN
ajfa-525	5	23	.	.	PUNCT
ajfa-525	6	1	the	the	DET
ajfa-525	6	2	holiday	holiday	NOUN
ajfa-525	6	3	effect	effect	NOUN
ajfa-525	6	4	is	be	AUX
ajfa-525	6	5	the	the	DET
ajfa-525	6	6	phenomenon	phenomenon	NOUN
ajfa-525	6	7	in	in	ADP
ajfa-525	6	8	which	which	PRON
ajfa-525	6	9	the	the	DET
ajfa-525	6	10	stock	stock	NOUN
ajfa-525	6	11	returns	return	NOUN
ajfa-525	6	12	are	be	AUX
ajfa-525	6	13	abnormally	abnormally	ADV
ajfa-525	6	14	high	high	ADJ
ajfa-525	6	15	before	before	ADP
ajfa-525	6	16	holidays	holiday	NOUN
ajfa-525	6	17	.	.	PUNCT
ajfa-525	7	1	there	there	PRON
ajfa-525	7	2	is	be	VERB
ajfa-525	7	3	no	no	DET
ajfa-525	7	4	complete	complete	ADJ
ajfa-525	7	5	explanation	explanation	NOUN
ajfa-525	7	6	for	for	ADP
ajfa-525	7	7	this	this	DET
ajfa-525	7	8	phenomenon	phenomenon	NOUN
ajfa-525	7	9	though	though	SCONJ
ajfa-525	7	10	there	there	PRON
ajfa-525	7	11	are	be	VERB
ajfa-525	7	12	many	many	ADJ
ajfa-525	7	13	studies	study	NOUN
ajfa-525	7	14	that	that	SCONJ
ajfa-525	7	15	state	state	VERB
ajfa-525	7	16	that	that	SCONJ
ajfa-525	7	17	the	the	DET
ajfa-525	7	18	holiday	holiday	NOUN
ajfa-525	7	19	effect	effect	NOUN
ajfa-525	7	20	has	have	AUX
ajfa-525	7	21	existed	exist	VERB
ajfa-525	7	22	in	in	ADP
ajfa-525	7	23	the	the	DET
ajfa-525	7	24	stock	stock	NOUN
ajfa-525	7	25	markets	market	NOUN
ajfa-525	7	26	all	all	ADV
ajfa-525	7	27	over	over	ADP
ajfa-525	7	28	the	the	DET
ajfa-525	7	29	world	world	NOUN
ajfa-525	7	30	.	.	PUNCT
ajfa-525	8	1	although	although	SCONJ
ajfa-525	8	2	there	there	PRON
ajfa-525	8	3	are	be	VERB
ajfa-525	8	4	many	many	ADJ
ajfa-525	8	5	studies	study	NOUN
ajfa-525	8	6	that	that	PRON
ajfa-525	8	7	have	have	AUX
ajfa-525	8	8	addressed	address	VERB
ajfa-525	8	9	the	the	DET
ajfa-525	8	10	existence	existence	NOUN
ajfa-525	8	11	of	of	ADP
ajfa-525	8	12	abnormal	abnormal	ADJ
ajfa-525	8	13	returns	return	NOUN
ajfa-525	8	14	during	during	ADP
ajfa-525	8	15	holiday	holiday	NOUN
ajfa-525	8	16	periods	period	NOUN
ajfa-525	8	17	a	a	DET
ajfa-525	8	18	few	few	ADJ
ajfa-525	8	19	studies	study	NOUN
ajfa-525	8	20	have	have	AUX
ajfa-525	8	21	provided	provide	VERB
ajfa-525	8	22	specific	specific	ADJ
ajfa-525	8	23	reasons	reason	NOUN
ajfa-525	8	24	for	for	ADP
ajfa-525	8	25	the	the	DET
ajfa-525	8	26	existence	existence	NOUN
ajfa-525	8	27	of	of	ADP
ajfa-525	8	28	this	this	DET
ajfa-525	8	29	phenomenon	phenomenon	NOUN
ajfa-525	8	30	.	.	PUNCT
ajfa-525	9	1	this	this	DET
ajfa-525	9	2	paper	paper	NOUN
ajfa-525	9	3	aims	aim	VERB
ajfa-525	9	4	to	to	PART
ajfa-525	9	5	study	study	VERB
ajfa-525	9	6	the	the	DET
ajfa-525	9	7	holiday	holiday	NOUN
ajfa-525	9	8	effect	effect	NOUN
ajfa-525	9	9	in	in	ADP
ajfa-525	9	10	returns	return	NOUN
ajfa-525	9	11	and	and	CCONJ
ajfa-525	9	12	volatility	volatility	NOUN
ajfa-525	9	13	of	of	ADP
ajfa-525	9	14	the	the	DET
ajfa-525	9	15	stock	stock	NOUN
ajfa-525	9	16	exchange	exchange	NOUN
ajfa-525	9	17	of	of	ADP
ajfa-525	9	18	thailand	thailand	PROPN
ajfa-525	9	19	.	.	PUNCT
ajfa-525	10	1	moreover	moreover	ADV
ajfa-525	10	2	,	,	PUNCT
ajfa-525	10	3	this	this	DET
ajfa-525	10	4	study	study	NOUN
ajfa-525	10	5	examines	examine	VERB
ajfa-525	10	6	whether	whether	SCONJ
ajfa-525	10	7	the	the	DET
ajfa-525	10	8	abnormal	abnormal	ADJ
ajfa-525	10	9	stock	stock	NOUN
ajfa-525	10	10	returns	return	NOUN
ajfa-525	10	11	observed	observe	VERB
ajfa-525	10	12	are	be	AUX
ajfa-525	10	13	associated	associate	VERB
ajfa-525	10	14	with	with	ADP
ajfa-525	10	15	higher	high	ADJ
ajfa-525	10	16	volatility	volatility	NOUN
ajfa-525	10	17	during	during	ADP
ajfa-525	10	18	preholiday	preholiday	NOUN
ajfa-525	10	19	periods	period	NOUN
ajfa-525	10	20	.	.	PUNCT
ajfa-525	11	1	furthermore	furthermore	ADV
ajfa-525	11	2	,	,	PUNCT
ajfa-525	11	3	it	it	PRON
ajfa-525	11	4	examines	examine	VERB
ajfa-525	11	5	whether	whether	SCONJ
ajfa-525	11	6	the	the	DET
ajfa-525	11	7	holiday	holiday	NOUN
ajfa-525	11	8	effect	effect	NOUN
ajfa-525	11	9	depends	depend	VERB
ajfa-525	11	10	on	on	ADP
ajfa-525	11	11	the	the	DET
ajfa-525	11	12	number	number	NOUN
ajfa-525	11	13	of	of	ADP
ajfa-525	11	14	days	day	NOUN
ajfa-525	11	15	in	in	ADP
ajfa-525	11	16	each	each	DET
ajfa-525	11	17	holiday	holiday	NOUN
ajfa-525	11	18	period	period	NOUN
ajfa-525	11	19	and	and	CCONJ
ajfa-525	11	20	whether	whether	SCONJ
ajfa-525	11	21	it	it	PRON
ajfa-525	11	22	varies	vary	VERB
ajfa-525	11	23	between	between	ADP
ajfa-525	11	24	state	state	NOUN
ajfa-525	11	25	and	and	CCONJ
ajfa-525	11	26	cultural	cultural	ADJ
ajfa-525	11	27	holidays	holiday	NOUN
ajfa-525	11	28	.	.	PUNCT
ajfa-525	12	1	various	various	ADJ
ajfa-525	12	2	garch	garch	NOUN
ajfa-525	12	3	models	model	NOUN
ajfa-525	12	4	are	be	AUX
ajfa-525	12	5	employed	employ	VERB
ajfa-525	12	6	to	to	PART
ajfa-525	12	7	capture	capture	VERB
ajfa-525	12	8	the	the	DET
ajfa-525	12	9	volatility	volatility	NOUN
ajfa-525	12	10	clustering	cluster	VERB
ajfa-525	12	11	nature	nature	NOUN
ajfa-525	12	12	of	of	ADP
ajfa-525	12	13	the	the	DET
ajfa-525	12	14	stock	stock	NOUN
ajfa-525	12	15	market	market	NOUN
ajfa-525	12	16	.	.	PUNCT
ajfa-525	13	1	out	out	ADP
ajfa-525	13	2	of	of	ADP
ajfa-525	13	3	the	the	DET
ajfa-525	13	4	three	three	NUM
ajfa-525	13	5	garch	garch	NOUN
ajfa-525	13	6	models	model	NOUN
ajfa-525	13	7	considered	consider	VERB
ajfa-525	13	8	,	,	PUNCT
ajfa-525	13	9	egarch	egarch	PROPN
ajfa-525	13	10	(	(	PUNCT
ajfa-525	13	11	1,1	1,1	NUM
ajfa-525	13	12	)	)	PUNCT
ajfa-525	13	13	model	model	NOUN
ajfa-525	13	14	shows	show	VERB
ajfa-525	13	15	the	the	DET
ajfa-525	13	16	best	good	ADJ
ajfa-525	13	17	performance	performance	NOUN
ajfa-525	13	18	.	.	PUNCT
ajfa-525	14	1	the	the	DET
ajfa-525	14	2	results	result	NOUN
ajfa-525	14	3	show	show	VERB
ajfa-525	14	4	that	that	SCONJ
ajfa-525	14	5	preholiday	preholiday	NOUN
ajfa-525	14	6	returns	return	NOUN
ajfa-525	14	7	and	and	CCONJ
ajfa-525	14	8	volatility	volatility	NOUN
ajfa-525	14	9	are	be	AUX
ajfa-525	14	10	abnormally	abnormally	ADV
ajfa-525	14	11	high	high	ADJ
ajfa-525	14	12	.	.	PUNCT
ajfa-525	15	1	furthermore	furthermore	ADV
ajfa-525	15	2	,	,	PUNCT
ajfa-525	15	3	the	the	DET
ajfa-525	15	4	longer	long	ADJ
ajfa-525	15	5	holiday	holiday	NOUN
ajfa-525	15	6	periods	period	NOUN
ajfa-525	15	7	tend	tend	VERB
ajfa-525	15	8	to	to	PART
ajfa-525	15	9	show	show	VERB
ajfa-525	15	10	higher	high	ADJ
ajfa-525	15	11	preholiday	preholiday	NOUN
ajfa-525	15	12	returns	return	NOUN
ajfa-525	15	13	.	.	PUNCT
ajfa-525	16	1	however	however	ADV
ajfa-525	16	2	,	,	PUNCT
ajfa-525	16	3	the	the	DET
ajfa-525	16	4	impact	impact	NOUN
ajfa-525	16	5	of	of	ADP
ajfa-525	16	6	cultural	cultural	ADJ
ajfa-525	16	7	factors	factor	NOUN
ajfa-525	16	8	on	on	ADP
ajfa-525	16	9	abnormal	abnormal	ADJ
ajfa-525	16	10	returns	return	NOUN
ajfa-525	16	11	prior	prior	ADV
ajfa-525	16	12	to	to	ADP
ajfa-525	16	13	cultural	cultural	ADJ
ajfa-525	16	14	holidays	holiday	NOUN
ajfa-525	16	15	is	be	AUX
ajfa-525	16	16	not	not	PART
ajfa-525	16	17	so	so	ADV
ajfa-525	16	18	pronounced	pronounce	VERB
ajfa-525	16	19	when	when	SCONJ
ajfa-525	16	20	compared	compare	VERB
ajfa-525	16	21	to	to	ADP
ajfa-525	16	22	the	the	DET
ajfa-525	16	23	impact	impact	NOUN
ajfa-525	16	24	of	of	ADP
ajfa-525	16	25	cultural	cultural	ADJ
ajfa-525	16	26	factors	factor	NOUN
ajfa-525	16	27	on	on	ADP
ajfa-525	16	28	abnormal	abnormal	ADJ
ajfa-525	16	29	returns	return	NOUN
ajfa-525	16	30	prior	prior	ADV
ajfa-525	16	31	to	to	ADP
ajfa-525	16	32	non	non	ADJ
ajfa-525	16	33	-	-	ADJ
ajfa-525	16	34	cultural	cultural	ADJ
ajfa-525	16	35	holidays	holiday	NOUN
ajfa-525	16	36	.	.	PUNCT
ajfa-525	17	1	keywords	keyword	NOUN
ajfa-525	17	2	:	:	PUNCT
ajfa-525	17	3	holiday	holiday	NOUN
ajfa-525	17	4	,	,	PUNCT
ajfa-525	17	5	calendar	calendar	NOUN
ajfa-525	17	6	anomalies	anomaly	NOUN
ajfa-525	17	7	,	,	PUNCT
ajfa-525	17	8	market	market	NOUN
ajfa-525	17	9	efficiency	efficiency	NOUN
ajfa-525	17	10	,	,	PUNCT
ajfa-525	17	11	stock	stock	NOUN
ajfa-525	17	12	exchange	exchange	NOUN
ajfa-525	17	13	of	of	ADP
ajfa-525	17	14	thailand	thailand	PROPN
ajfa-525	17	15	jel	jel	PROPN
ajfa-525	17	16	classifications	classification	NOUN
ajfa-525	17	17	:	:	PUNCT
ajfa-525	17	18	g1	g1	PROPN
ajfa-525	17	19	,	,	PUNCT
ajfa-525	17	20	c01	c01	NOUN
ajfa-525	17	21	,	,	PUNCT
ajfa-525	17	22	g11	g11	PROPN
ajfa-525	17	23	asian	asian	ADJ
ajfa-525	17	24	 	 	SPACE
ajfa-525	17	25	journal	journal	NOUN
ajfa-525	17	26	 	 	SPACE
ajfa-525	17	27	of	of	ADP
ajfa-525	17	28	 	 	SPACE
ajfa-525	17	29	finance	finance	NOUN
ajfa-525	17	30	 	 	SPACE
ajfa-525	17	31	&	&	CCONJ
ajfa-525	17	32	 	 	SPACE
ajfa-525	17	33	accounting	account	VERB
ajfa-525	17	34	  	  	SPACE
ajfa-525	17	35	issn	issn	PROPN
ajfa-525	17	36	 	 	SPACE
ajfa-525	17	37	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	17	38	  	  	SPACE
ajfa-525	17	39	2010	2010	NUM
ajfa-525	17	40	,	,	PUNCT
ajfa-525	17	41	 	 	SPACE
ajfa-525	17	42	vol	vol	NOUN
ajfa-525	17	43	.	.	PUNCT
ajfa-525	17	44	 	 	SPACE
ajfa-525	18	1	2	2	NUM
ajfa-525	18	2	,	,	PUNCT
ajfa-525	18	3	 	 	SPACE
ajfa-525	18	4	no	no	INTJ
ajfa-525	18	5	.	.	PUNCT
ajfa-525	18	6	 	 	SPACE
ajfa-525	19	1	2	2	NUM
ajfa-525	19	2	,	,	PUNCT
ajfa-525	19	3	   	   	SPACE
ajfa-525	19	4	x	x	NOUN
ajfa-525	19	5	:	:	PUNCT
ajfa-525	19	6	 	 	SPACE
ajfa-525	19	7	e3	e3	VERB
ajfa-525	19	8	      	      	SPACE
ajfa-525	19	9	42	42	NUM
ajfa-525	19	10	  	  	SPACE
ajfa-525	19	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	19	12	  	  	SPACE
ajfa-525	19	13	1	1	NUM
ajfa-525	19	14	.	.	PUNCT
ajfa-525	20	1	introduction	introduction	NOUN
ajfa-525	20	2	market	market	NOUN
ajfa-525	20	3	timing	timing	NOUN
ajfa-525	20	4	is	be	AUX
ajfa-525	20	5	one	one	NUM
ajfa-525	20	6	of	of	ADP
ajfa-525	20	7	the	the	DET
ajfa-525	20	8	important	important	ADJ
ajfa-525	20	9	strategies	strategy	NOUN
ajfa-525	20	10	employed	employ	VERB
ajfa-525	20	11	to	to	PART
ajfa-525	20	12	make	make	VERB
ajfa-525	20	13	profits	profit	NOUN
ajfa-525	20	14	in	in	ADP
ajfa-525	20	15	stock	stock	NOUN
ajfa-525	20	16	markets	market	NOUN
ajfa-525	20	17	.	.	PUNCT
ajfa-525	21	1	there	there	PRON
ajfa-525	21	2	are	be	VERB
ajfa-525	21	3	numerous	numerous	ADJ
ajfa-525	21	4	studies	study	NOUN
ajfa-525	21	5	addressing	address	VERB
ajfa-525	21	6	the	the	DET
ajfa-525	21	7	situation	situation	NOUN
ajfa-525	21	8	that	that	SCONJ
ajfa-525	21	9	the	the	DET
ajfa-525	21	10	daily	daily	ADJ
ajfa-525	21	11	stock	stock	NOUN
ajfa-525	21	12	returns	return	NOUN
ajfa-525	21	13	are	be	AUX
ajfa-525	21	14	abnormally	abnormally	ADV
ajfa-525	21	15	high	high	ADJ
ajfa-525	21	16	for	for	ADP
ajfa-525	21	17	some	some	DET
ajfa-525	21	18	specific	specific	ADJ
ajfa-525	21	19	days	day	NOUN
ajfa-525	21	20	or	or	CCONJ
ajfa-525	21	21	periods	period	NOUN
ajfa-525	21	22	during	during	ADP
ajfa-525	21	23	the	the	DET
ajfa-525	21	24	calendar	calendar	NOUN
ajfa-525	21	25	year	year	NOUN
ajfa-525	21	26	.	.	PUNCT
ajfa-525	22	1	the	the	DET
ajfa-525	22	2	existence	existence	NOUN
ajfa-525	22	3	of	of	ADP
ajfa-525	22	4	these	these	DET
ajfa-525	22	5	abnormal	abnormal	ADJ
ajfa-525	22	6	returns	return	NOUN
ajfa-525	22	7	is	be	AUX
ajfa-525	22	8	known	know	VERB
ajfa-525	22	9	as	as	ADP
ajfa-525	22	10	calendar	calendar	NOUN
ajfa-525	22	11	anomalies	anomaly	NOUN
ajfa-525	22	12	or	or	CCONJ
ajfa-525	22	13	calendar	calendar	NOUN
ajfa-525	22	14	effects	effect	NOUN
ajfa-525	22	15	.	.	PUNCT
ajfa-525	23	1	one	one	NUM
ajfa-525	23	2	of	of	ADP
ajfa-525	23	3	the	the	DET
ajfa-525	23	4	dominant	dominant	ADJ
ajfa-525	23	5	phenomena	phenomenon	NOUN
ajfa-525	23	6	among	among	ADP
ajfa-525	23	7	the	the	DET
ajfa-525	23	8	calendar	calendar	NOUN
ajfa-525	23	9	anomalies	anomaly	NOUN
ajfa-525	23	10	is	be	AUX
ajfa-525	23	11	the	the	DET
ajfa-525	23	12	situation	situation	NOUN
ajfa-525	23	13	that	that	SCONJ
ajfa-525	23	14	the	the	DET
ajfa-525	23	15	stock	stock	NOUN
ajfa-525	23	16	returns	return	NOUN
ajfa-525	23	17	are	be	AUX
ajfa-525	23	18	abnormally	abnormally	ADV
ajfa-525	23	19	high	high	ADJ
ajfa-525	23	20	on	on	ADP
ajfa-525	23	21	the	the	DET
ajfa-525	23	22	trading	trading	NOUN
ajfa-525	23	23	day	day	NOUN
ajfa-525	23	24	before	before	ADP
ajfa-525	23	25	the	the	DET
ajfa-525	23	26	market	market	NOUN
ajfa-525	23	27	closing	closing	NOUN
ajfa-525	23	28	day	day	NOUN
ajfa-525	23	29	.	.	PUNCT
ajfa-525	24	1	the	the	DET
ajfa-525	24	2	abnormal	abnormal	ADJ
ajfa-525	24	3	returns	return	NOUN
ajfa-525	24	4	could	could	AUX
ajfa-525	24	5	exist	exist	VERB
ajfa-525	24	6	both	both	PRON
ajfa-525	24	7	on	on	ADP
ajfa-525	24	8	the	the	DET
ajfa-525	24	9	day	day	NOUN
ajfa-525	24	10	before	before	ADP
ajfa-525	24	11	the	the	DET
ajfa-525	24	12	normal	normal	ADJ
ajfa-525	24	13	weekend	weekend	NOUN
ajfa-525	24	14	closing	closing	NOUN
ajfa-525	24	15	and	and	CCONJ
ajfa-525	24	16	on	on	ADP
ajfa-525	24	17	the	the	DET
ajfa-525	24	18	day	day	NOUN
ajfa-525	24	19	before	before	ADP
ajfa-525	24	20	the	the	DET
ajfa-525	24	21	holidays	holiday	NOUN
ajfa-525	24	22	.	.	PUNCT
ajfa-525	25	1	the	the	DET
ajfa-525	25	2	abnormal	abnormal	ADJ
ajfa-525	25	3	returns	return	NOUN
ajfa-525	25	4	on	on	ADP
ajfa-525	25	5	friday	friday	PROPN
ajfa-525	25	6	,	,	PUNCT
ajfa-525	25	7	the	the	DET
ajfa-525	25	8	trading	trading	NOUN
ajfa-525	25	9	day	day	NOUN
ajfa-525	25	10	before	before	ADP
ajfa-525	25	11	the	the	DET
ajfa-525	25	12	normal	normal	ADJ
ajfa-525	25	13	weekend	weekend	NOUN
ajfa-525	25	14	closing	closing	NOUN
ajfa-525	25	15	,	,	PUNCT
ajfa-525	25	16	are	be	AUX
ajfa-525	25	17	known	know	VERB
ajfa-525	25	18	as	as	ADP
ajfa-525	25	19	weekend	weekend	NOUN
ajfa-525	25	20	effect	effect	NOUN
ajfa-525	25	21	or	or	CCONJ
ajfa-525	25	22	turnof	turnof	NOUN
ajfa-525	25	23	the	the	DET
ajfa-525	25	24	week	week	NOUN
ajfa-525	25	25	effect	effect	NOUN
ajfa-525	25	26	.	.	PUNCT
ajfa-525	26	1	meanwhile	meanwhile	ADV
ajfa-525	26	2	,	,	PUNCT
ajfa-525	26	3	the	the	DET
ajfa-525	26	4	existence	existence	NOUN
ajfa-525	26	5	of	of	ADP
ajfa-525	26	6	abnormal	abnormal	ADJ
ajfa-525	26	7	returns	return	NOUN
ajfa-525	26	8	on	on	ADP
ajfa-525	26	9	the	the	DET
ajfa-525	26	10	day	day	NOUN
ajfa-525	26	11	before	before	SCONJ
ajfa-525	26	12	the	the	DET
ajfa-525	26	13	holidays	holiday	NOUN
ajfa-525	26	14	is	be	AUX
ajfa-525	26	15	known	know	VERB
ajfa-525	26	16	as	as	ADP
ajfa-525	26	17	holiday	holiday	NOUN
ajfa-525	26	18	effect	effect	NOUN
ajfa-525	26	19	.	.	PUNCT
ajfa-525	27	1	although	although	SCONJ
ajfa-525	27	2	many	many	ADJ
ajfa-525	27	3	studies	study	NOUN
ajfa-525	27	4	have	have	AUX
ajfa-525	27	5	investigated	investigate	VERB
ajfa-525	27	6	the	the	DET
ajfa-525	27	7	existence	existence	NOUN
ajfa-525	27	8	of	of	ADP
ajfa-525	27	9	abnormal	abnormal	ADJ
ajfa-525	27	10	returns	return	NOUN
ajfa-525	27	11	during	during	ADP
ajfa-525	27	12	holiday	holiday	NOUN
ajfa-525	27	13	periods	period	NOUN
ajfa-525	27	14	around	around	ADP
ajfa-525	27	15	the	the	DET
ajfa-525	27	16	world	world	NOUN
ajfa-525	27	17	,	,	PUNCT
ajfa-525	27	18	only	only	ADV
ajfa-525	27	19	a	a	DET
ajfa-525	27	20	few	few	ADJ
ajfa-525	27	21	have	have	AUX
ajfa-525	27	22	attempted	attempt	VERB
ajfa-525	27	23	to	to	PART
ajfa-525	27	24	explain	explain	VERB
ajfa-525	27	25	why	why	SCONJ
ajfa-525	27	26	such	such	ADJ
ajfa-525	27	27	abnormal	abnormal	ADJ
ajfa-525	27	28	returns	return	NOUN
ajfa-525	27	29	exist	exist	VERB
ajfa-525	27	30	.	.	PUNCT
ajfa-525	28	1	this	this	DET
ajfa-525	28	2	paper	paper	NOUN
ajfa-525	28	3	aims	aim	VERB
ajfa-525	28	4	to	to	PART
ajfa-525	28	5	examine	examine	VERB
ajfa-525	28	6	whether	whether	SCONJ
ajfa-525	28	7	the	the	DET
ajfa-525	28	8	higher	high	ADJ
ajfa-525	28	9	returns	return	NOUN
ajfa-525	28	10	during	during	ADP
ajfa-525	28	11	the	the	DET
ajfa-525	28	12	preholiday	preholiday	NOUN
ajfa-525	28	13	periods	period	NOUN
ajfa-525	28	14	are	be	AUX
ajfa-525	28	15	associated	associate	VERB
ajfa-525	28	16	with	with	ADP
ajfa-525	28	17	higher	high	ADJ
ajfa-525	28	18	volatility	volatility	NOUN
ajfa-525	28	19	.	.	PUNCT
ajfa-525	29	1	the	the	DET
ajfa-525	29	2	results	result	NOUN
ajfa-525	29	3	from	from	ADP
ajfa-525	29	4	this	this	DET
ajfa-525	29	5	study	study	NOUN
ajfa-525	29	6	contribute	contribute	VERB
ajfa-525	29	7	to	to	ADP
ajfa-525	29	8	existing	exist	VERB
ajfa-525	29	9	literature	literature	NOUN
ajfa-525	29	10	by	by	ADP
ajfa-525	29	11	associating	associate	VERB
ajfa-525	29	12	the	the	DET
ajfa-525	29	13	abnormally	abnormally	ADV
ajfa-525	29	14	high	high	ADJ
ajfa-525	29	15	stock	stock	NOUN
ajfa-525	29	16	returns	return	NOUN
ajfa-525	29	17	to	to	ADP
ajfa-525	29	18	the	the	DET
ajfa-525	29	19	higher	high	ADJ
ajfa-525	29	20	level	level	NOUN
ajfa-525	29	21	of	of	ADP
ajfa-525	29	22	volatility	volatility	NOUN
ajfa-525	29	23	.	.	PUNCT
ajfa-525	30	1	therefore	therefore	ADV
ajfa-525	30	2	,	,	PUNCT
ajfa-525	30	3	high	high	ADJ
ajfa-525	30	4	preholiday	preholiday	NOUN
ajfa-525	30	5	returns	return	NOUN
ajfa-525	30	6	are	be	AUX
ajfa-525	30	7	not	not	PART
ajfa-525	30	8	abnormal	abnormal	ADJ
ajfa-525	30	9	returns	return	NOUN
ajfa-525	30	10	but	but	CCONJ
ajfa-525	30	11	they	they	PRON
ajfa-525	30	12	are	be	AUX
ajfa-525	30	13	the	the	DET
ajfa-525	30	14	rewards	reward	NOUN
ajfa-525	30	15	for	for	ADP
ajfa-525	30	16	risk	risk	NOUN
ajfa-525	30	17	taking	take	VERB
ajfa-525	30	18	by	by	ADP
ajfa-525	30	19	investors	investor	NOUN
ajfa-525	30	20	during	during	ADP
ajfa-525	30	21	preholiday	preholiday	PROPN
ajfa-525	30	22	period	period	NOUN
ajfa-525	30	23	with	with	ADP
ajfa-525	30	24	higher	high	ADJ
ajfa-525	30	25	volatility	volatility	NOUN
ajfa-525	30	26	.	.	PUNCT
ajfa-525	31	1	to	to	PART
ajfa-525	31	2	addresses	address	NOUN
ajfa-525	31	3	the	the	DET
ajfa-525	31	4	holiday	holiday	NOUN
ajfa-525	31	5	effect	effect	NOUN
ajfa-525	31	6	in	in	ADP
ajfa-525	31	7	the	the	DET
ajfa-525	31	8	thai	thai	PROPN
ajfa-525	31	9	stock	stock	NOUN
ajfa-525	31	10	market	market	NOUN
ajfa-525	31	11	,	,	PUNCT
ajfa-525	31	12	the	the	DET
ajfa-525	31	13	regression	regression	NOUN
ajfa-525	31	14	analysis	analysis	NOUN
ajfa-525	31	15	with	with	ADP
ajfa-525	31	16	dummy	dummy	ADJ
ajfa-525	31	17	variables	variable	NOUN
ajfa-525	31	18	technique	technique	NOUN
ajfa-525	31	19	is	be	AUX
ajfa-525	31	20	employed	employ	VERB
ajfa-525	31	21	.	.	PUNCT
ajfa-525	32	1	the	the	DET
ajfa-525	32	2	ordinary	ordinary	ADJ
ajfa-525	32	3	least	least	ADJ
ajfa-525	32	4	squares	square	NOUN
ajfa-525	32	5	estimator	estimator	NOUN
ajfa-525	32	6	and	and	CCONJ
ajfa-525	32	7	simple	simple	ADJ
ajfa-525	32	8	t	t	PROPN
ajfa-525	32	9	-	-	PUNCT
ajfa-525	32	10	test	test	NOUN
ajfa-525	32	11	are	be	AUX
ajfa-525	32	12	employed	employ	VERB
ajfa-525	32	13	to	to	PART
ajfa-525	32	14	test	test	VERB
ajfa-525	32	15	the	the	DET
ajfa-525	32	16	difference	difference	NOUN
ajfa-525	32	17	of	of	ADP
ajfa-525	32	18	returns	return	NOUN
ajfa-525	32	19	between	between	ADP
ajfa-525	32	20	preholiday	preholiday	NOUN
ajfa-525	32	21	and	and	CCONJ
ajfa-525	32	22	non	non	ADJ
ajfa-525	32	23	-	-	ADJ
ajfa-525	32	24	preholiday	preholiday	ADJ
ajfa-525	32	25	periods	period	NOUN
ajfa-525	32	26	.	.	PUNCT
ajfa-525	33	1	furthermore	furthermore	ADV
ajfa-525	33	2	,	,	PUNCT
ajfa-525	33	3	the	the	DET
ajfa-525	33	4	generalized	generalize	VERB
ajfa-525	33	5	autoregressive	autoregressive	ADJ
ajfa-525	33	6	conditional	conditional	ADJ
ajfa-525	33	7	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	33	8	or	or	CCONJ
ajfa-525	33	9	garch	garch	NOUN
ajfa-525	33	10	model	model	NOUN
ajfa-525	33	11	is	be	AUX
ajfa-525	33	12	applied	apply	VERB
ajfa-525	33	13	in	in	ADP
ajfa-525	33	14	the	the	DET
ajfa-525	33	15	analysis	analysis	NOUN
ajfa-525	33	16	in	in	ADP
ajfa-525	33	17	order	order	NOUN
ajfa-525	33	18	to	to	PART
ajfa-525	33	19	capture	capture	VERB
ajfa-525	33	20	the	the	DET
ajfa-525	33	21	time	time	NOUN
ajfa-525	33	22	varying	vary	VERB
ajfa-525	33	23	volatility	volatility	NOUN
ajfa-525	33	24	which	which	PRON
ajfa-525	33	25	is	be	AUX
ajfa-525	33	26	common	common	ADJ
ajfa-525	33	27	in	in	ADP
ajfa-525	33	28	stock	stock	NOUN
ajfa-525	33	29	market	market	NOUN
ajfa-525	33	30	returns	return	NOUN
ajfa-525	33	31	.	.	PUNCT
ajfa-525	34	1	the	the	DET
ajfa-525	34	2	original	original	ADJ
ajfa-525	34	3	garch	garch	NOUN
ajfa-525	34	4	specification	specification	NOUN
ajfa-525	34	5	is	be	AUX
ajfa-525	34	6	modified	modify	VERB
ajfa-525	34	7	by	by	ADP
ajfa-525	34	8	adding	add	VERB
ajfa-525	34	9	dummy	dummy	ADJ
ajfa-525	34	10	variables	variable	NOUN
ajfa-525	34	11	in	in	ADP
ajfa-525	34	12	the	the	DET
ajfa-525	34	13	variance	variance	NOUN
ajfa-525	34	14	equation	equation	NOUN
ajfa-525	34	15	to	to	PART
ajfa-525	34	16	address	address	VERB
ajfa-525	34	17	the	the	DET
ajfa-525	34	18	effect	effect	NOUN
ajfa-525	34	19	of	of	ADP
ajfa-525	34	20	preholiday	preholiday	NOUN
ajfa-525	34	21	periods	period	NOUN
ajfa-525	34	22	.	.	PUNCT
ajfa-525	35	1	the	the	DET
ajfa-525	35	2	asymmetric	asymmetric	ADJ
ajfa-525	35	3	garch	garch	NOUN
ajfa-525	35	4	model	model	NOUN
ajfa-525	35	5	known	know	VERB
ajfa-525	35	6	as	as	ADP
ajfa-525	35	7	the	the	DET
ajfa-525	35	8	exponential	exponential	ADJ
ajfa-525	35	9	garch	garch	NOUN
ajfa-525	35	10	or	or	CCONJ
ajfa-525	35	11	egarch	egarch	NOUN
ajfa-525	35	12	is	be	AUX
ajfa-525	35	13	also	also	ADV
ajfa-525	35	14	utilized	utilize	VERB
ajfa-525	35	15	in	in	ADP
ajfa-525	35	16	order	order	NOUN
ajfa-525	35	17	to	to	PART
ajfa-525	35	18	compare	compare	VERB
ajfa-525	35	19	the	the	DET
ajfa-525	35	20	results	result	NOUN
ajfa-525	35	21	with	with	ADP
ajfa-525	35	22	those	those	PRON
ajfa-525	35	23	from	from	ADP
ajfa-525	35	24	normal	normal	ADJ
ajfa-525	35	25	garch	garch	NOUN
ajfa-525	35	26	model	model	NOUN
ajfa-525	35	27	.	.	PUNCT
ajfa-525	36	1	the	the	DET
ajfa-525	36	2	lags	lag	NOUN
ajfa-525	36	3	of	of	ADP
ajfa-525	36	4	stock	stock	NOUN
ajfa-525	36	5	returns	return	NOUN
ajfa-525	36	6	are	be	AUX
ajfa-525	36	7	included	include	VERB
ajfa-525	36	8	in	in	ADP
ajfa-525	36	9	the	the	DET
ajfa-525	36	10	mean	mean	ADJ
ajfa-525	36	11	equation	equation	NOUN
ajfa-525	36	12	to	to	PART
ajfa-525	36	13	account	account	VERB
ajfa-525	36	14	for	for	ADP
ajfa-525	36	15	possible	possible	ADJ
ajfa-525	36	16	autocorrelation	autocorrelation	NOUN
ajfa-525	36	17	.	.	PUNCT
ajfa-525	37	1	in	in	ADP
ajfa-525	37	2	addition	addition	NOUN
ajfa-525	37	3	,	,	PUNCT
ajfa-525	37	4	the	the	DET
ajfa-525	37	5	volatility	volatility	NOUN
ajfa-525	37	6	measurement	measurement	NOUN
ajfa-525	37	7	from	from	ADP
ajfa-525	37	8	the	the	DET
ajfa-525	37	9	variance	variance	NOUN
ajfa-525	37	10	equation	equation	NOUN
ajfa-525	37	11	is	be	AUX
ajfa-525	37	12	included	include	VERB
ajfa-525	37	13	in	in	ADP
ajfa-525	37	14	the	the	DET
ajfa-525	37	15	mean	mean	ADJ
ajfa-525	37	16	equation	equation	NOUN
ajfa-525	37	17	.	.	PUNCT
ajfa-525	38	1	the	the	DET
ajfa-525	38	2	combination	combination	NOUN
ajfa-525	38	3	of	of	ADP
ajfa-525	38	4	the	the	DET
ajfa-525	38	5	above	above	ADJ
ajfa-525	38	6	two	two	NUM
ajfa-525	38	7	models	model	NOUN
ajfa-525	38	8	is	be	AUX
ajfa-525	38	9	referred	refer	VERB
ajfa-525	38	10	to	to	ADP
ajfa-525	38	11	as	as	ADP
ajfa-525	38	12	the	the	DET
ajfa-525	38	13	garch	garch	NOUN
ajfa-525	38	14	-	-	PUNCT
ajfa-525	38	15	in	in	ADP
ajfa-525	38	16	-	-	PUNCT
ajfa-525	38	17	mean	mean	NOUN
ajfa-525	38	18	equation	equation	NOUN
ajfa-525	38	19	.	.	PUNCT
ajfa-525	39	1	some	some	DET
ajfa-525	39	2	attributes	attribute	NOUN
ajfa-525	39	3	of	of	ADP
ajfa-525	39	4	holiday	holiday	NOUN
ajfa-525	39	5	periods	period	NOUN
ajfa-525	39	6	are	be	AUX
ajfa-525	39	7	included	include	VERB
ajfa-525	39	8	in	in	ADP
ajfa-525	39	9	the	the	DET
ajfa-525	39	10	analysis	analysis	NOUN
ajfa-525	39	11	to	to	PART
ajfa-525	39	12	examine	examine	VERB
ajfa-525	39	13	the	the	DET
ajfa-525	39	14	differences	difference	NOUN
ajfa-525	39	15	in	in	ADP
ajfa-525	39	16	preholiday	preholiday	NOUN
ajfa-525	39	17	returns	return	NOUN
ajfa-525	39	18	among	among	ADP
ajfa-525	39	19	those	those	DET
ajfa-525	39	20	different	different	ADJ
ajfa-525	39	21	groups	group	NOUN
ajfa-525	39	22	of	of	ADP
ajfa-525	39	23	attributes	attribute	NOUN
ajfa-525	39	24	.	.	PUNCT
ajfa-525	40	1	the	the	DET
ajfa-525	40	2	classification	classification	NOUN
ajfa-525	40	3	of	of	ADP
ajfa-525	40	4	holidays	holiday	NOUN
ajfa-525	40	5	into	into	ADP
ajfa-525	40	6	cultural	cultural	ADJ
ajfa-525	40	7	and	and	CCONJ
ajfa-525	40	8	state	state	NOUN
ajfa-525	40	9	holidays	holiday	NOUN
ajfa-525	40	10	is	be	AUX
ajfa-525	40	11	used	use	VERB
ajfa-525	40	12	to	to	PART
ajfa-525	40	13	determine	determine	VERB
ajfa-525	40	14	the	the	DET
ajfa-525	40	15	differential	differential	ADJ
ajfa-525	40	16	effects	effect	NOUN
ajfa-525	40	17	on	on	ADP
ajfa-525	40	18	the	the	DET
ajfa-525	40	19	preholiday	preholiday	NOUN
ajfa-525	40	20	returns	return	NOUN
ajfa-525	40	21	.	.	PUNCT
ajfa-525	41	1	the	the	DET
ajfa-525	41	2	number	number	NOUN
ajfa-525	41	3	of	of	ADP
ajfa-525	41	4	days	day	NOUN
ajfa-525	41	5	for	for	ADP
ajfa-525	41	6	each	each	DET
ajfa-525	41	7	holiday	holiday	NOUN
ajfa-525	41	8	period	period	NOUN
ajfa-525	41	9	is	be	AUX
ajfa-525	41	10	also	also	ADV
ajfa-525	41	11	examined	examine	VERB
ajfa-525	41	12	to	to	PART
ajfa-525	41	13	see	see	VERB
ajfa-525	41	14	whether	whether	SCONJ
ajfa-525	41	15	it	it	PRON
ajfa-525	41	16	will	will	AUX
ajfa-525	41	17	affect	affect	VERB
ajfa-525	41	18	the	the	DET
ajfa-525	41	19	preholiday	preholiday	NOUN
ajfa-525	41	20	returns	return	VERB
ajfa-525	41	21	differently	differently	ADV
ajfa-525	41	22	.	.	PUNCT
ajfa-525	42	1	2	2	X
ajfa-525	42	2	.	.	X
ajfa-525	42	3	literature	literature	NOUN
ajfa-525	42	4	review	review	VERB
ajfa-525	42	5	the	the	DET
ajfa-525	42	6	existence	existence	NOUN
ajfa-525	42	7	of	of	ADP
ajfa-525	42	8	abnormal	abnormal	ADJ
ajfa-525	42	9	returns	return	NOUN
ajfa-525	42	10	in	in	ADP
ajfa-525	42	11	the	the	DET
ajfa-525	42	12	stock	stock	NOUN
ajfa-525	42	13	market	market	NOUN
ajfa-525	42	14	appearing	appear	VERB
ajfa-525	42	15	before	before	ADP
ajfa-525	42	16	holidays	holiday	NOUN
ajfa-525	42	17	is	be	AUX
ajfa-525	42	18	one	one	NUM
ajfa-525	42	19	of	of	ADP
ajfa-525	42	20	the	the	DET
ajfa-525	42	21	market	market	NOUN
ajfa-525	42	22	anomalies	anomaly	NOUN
ajfa-525	42	23	which	which	PRON
ajfa-525	42	24	could	could	AUX
ajfa-525	42	25	not	not	PART
ajfa-525	42	26	be	be	AUX
ajfa-525	42	27	completely	completely	ADV
ajfa-525	42	28	explained	explain	VERB
ajfa-525	42	29	.	.	PUNCT
ajfa-525	43	1	however	however	ADV
ajfa-525	43	2	,	,	PUNCT
ajfa-525	43	3	the	the	DET
ajfa-525	43	4	phenomenon	phenomenon	NOUN
ajfa-525	43	5	that	that	SCONJ
ajfa-525	43	6	the	the	DET
ajfa-525	43	7	stock	stock	NOUN
ajfa-525	43	8	returns	return	NOUN
ajfa-525	43	9	are	be	AUX
ajfa-525	43	10	abnormally	abnormally	ADV
ajfa-525	43	11	high	high	ADJ
ajfa-525	43	12	during	during	ADP
ajfa-525	43	13	the	the	DET
ajfa-525	43	14	trading	trading	NOUN
ajfa-525	43	15	days	day	NOUN
ajfa-525	43	16	before	before	SCONJ
ajfa-525	43	17	the	the	DET
ajfa-525	43	18	market	market	NOUN
ajfa-525	43	19	closures	closure	NOUN
ajfa-525	43	20	has	have	AUX
ajfa-525	43	21	existed	exist	VERB
ajfa-525	43	22	in	in	ADP
ajfa-525	43	23	stock	stock	NOUN
ajfa-525	43	24	markets	market	NOUN
ajfa-525	43	25	as	as	SCONJ
ajfa-525	43	26	reported	report	VERB
ajfa-525	43	27	in	in	ADP
ajfa-525	43	28	many	many	ADJ
ajfa-525	43	29	previous	previous	ADJ
ajfa-525	43	30	studies	study	NOUN
ajfa-525	43	31	.	.	PUNCT
ajfa-525	44	1	french	french	ADJ
ajfa-525	44	2	(	(	PUNCT
ajfa-525	44	3	1980	1980	NUM
ajfa-525	44	4	)	)	PUNCT
ajfa-525	44	5	showed	show	VERB
ajfa-525	44	6	that	that	SCONJ
ajfa-525	44	7	the	the	DET
ajfa-525	44	8	stock	stock	NOUN
ajfa-525	44	9	returns	return	NOUN
ajfa-525	44	10	were	be	AUX
ajfa-525	44	11	consistently	consistently	ADV
ajfa-525	44	12	high	high	ADJ
ajfa-525	44	13	on	on	ADP
ajfa-525	44	14	fridays	friday	NOUN
ajfa-525	44	15	and	and	CCONJ
ajfa-525	44	16	low	low	ADJ
ajfa-525	44	17	on	on	ADP
ajfa-525	44	18	mondays	monday	NOUN
ajfa-525	44	19	.	.	PUNCT
ajfa-525	45	1	rogalski	rogalski	PROPN
ajfa-525	45	2	(	(	PUNCT
ajfa-525	45	3	1984	1984	NUM
ajfa-525	45	4	)	)	PUNCT
ajfa-525	45	5	found	find	VERB
ajfa-525	45	6	that	that	SCONJ
ajfa-525	45	7	the	the	DET
ajfa-525	45	8	asian	asian	ADJ
ajfa-525	45	9	 	 	SPACE
ajfa-525	45	10	journal	journal	NOUN
ajfa-525	45	11	 	 	SPACE
ajfa-525	45	12	of	of	ADP
ajfa-525	45	13	 	 	SPACE
ajfa-525	45	14	finance	finance	NOUN
ajfa-525	45	15	 	 	SPACE
ajfa-525	45	16	&	&	CCONJ
ajfa-525	45	17	 	 	SPACE
ajfa-525	45	18	accounting	account	VERB
ajfa-525	45	19	  	  	SPACE
ajfa-525	45	20	issn	issn	PROPN
ajfa-525	45	21	 	 	SPACE
ajfa-525	45	22	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	45	23	  	  	SPACE
ajfa-525	45	24	2010	2010	NUM
ajfa-525	45	25	,	,	PUNCT
ajfa-525	45	26	 	 	SPACE
ajfa-525	45	27	vol	vol	NOUN
ajfa-525	45	28	.	.	PUNCT
ajfa-525	45	29	 	 	SPACE
ajfa-525	46	1	2	2	NUM
ajfa-525	46	2	,	,	PUNCT
ajfa-525	46	3	 	 	SPACE
ajfa-525	46	4	no	no	INTJ
ajfa-525	46	5	.	.	PUNCT
ajfa-525	46	6	 	 	SPACE
ajfa-525	47	1	2	2	NUM
ajfa-525	47	2	,	,	PUNCT
ajfa-525	47	3	   	   	SPACE
ajfa-525	47	4	x	x	NOUN
ajfa-525	47	5	:	:	PUNCT
ajfa-525	47	6	 	 	SPACE
ajfa-525	47	7	e3	e3	VERB
ajfa-525	47	8	      	      	SPACE
ajfa-525	47	9	43	43	NUM
ajfa-525	47	10	  	  	SPACE
ajfa-525	47	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	47	12	  	  	SPACE
ajfa-525	47	13	negative	negative	ADJ
ajfa-525	47	14	average	average	ADJ
ajfa-525	47	15	returns	return	NOUN
ajfa-525	47	16	on	on	ADP
ajfa-525	47	17	mondays	monday	NOUN
ajfa-525	47	18	could	could	AUX
ajfa-525	47	19	be	be	AUX
ajfa-525	47	20	attributed	attribute	VERB
ajfa-525	47	21	to	to	ADP
ajfa-525	47	22	the	the	DET
ajfa-525	47	23	average	average	ADJ
ajfa-525	47	24	negative	negative	ADJ
ajfa-525	47	25	returns	return	NOUN
ajfa-525	47	26	during	during	ADP
ajfa-525	47	27	the	the	DET
ajfa-525	47	28	market	market	NOUN
ajfa-525	47	29	closure	closure	NOUN
ajfa-525	47	30	which	which	PRON
ajfa-525	47	31	was	be	AUX
ajfa-525	47	32	measured	measure	VERB
ajfa-525	47	33	using	use	VERB
ajfa-525	47	34	the	the	DET
ajfa-525	47	35	closing	closing	NOUN
ajfa-525	47	36	price	price	NOUN
ajfa-525	47	37	on	on	ADP
ajfa-525	47	38	fridays	friday	NOUN
ajfa-525	47	39	and	and	CCONJ
ajfa-525	47	40	the	the	DET
ajfa-525	47	41	opening	opening	NOUN
ajfa-525	47	42	price	price	NOUN
ajfa-525	47	43	on	on	ADP
ajfa-525	47	44	mondays	monday	NOUN
ajfa-525	47	45	.	.	PUNCT
ajfa-525	48	1	roll	roll	NOUN
ajfa-525	48	2	(	(	PUNCT
ajfa-525	48	3	1983	1983	NUM
ajfa-525	48	4	)	)	PUNCT
ajfa-525	48	5	explained	explain	VERB
ajfa-525	48	6	that	that	SCONJ
ajfa-525	48	7	there	there	PRON
ajfa-525	48	8	were	be	VERB
ajfa-525	48	9	relatively	relatively	ADV
ajfa-525	48	10	higher	high	ADJ
ajfa-525	48	11	returns	return	NOUN
ajfa-525	48	12	for	for	ADP
ajfa-525	48	13	small	small	ADJ
ajfa-525	48	14	-	-	PUNCT
ajfa-525	48	15	sized	sized	ADJ
ajfa-525	48	16	firms	firm	NOUN
ajfa-525	48	17	during	during	ADP
ajfa-525	48	18	the	the	DET
ajfa-525	48	19	trading	trading	NOUN
ajfa-525	48	20	days	day	NOUN
ajfa-525	48	21	before	before	ADP
ajfa-525	48	22	new	new	ADJ
ajfa-525	48	23	year	year	NOUN
ajfa-525	48	24	day	day	NOUN
ajfa-525	48	25	.	.	PUNCT
ajfa-525	49	1	lakonishok	lakonishok	NOUN
ajfa-525	49	2	and	and	CCONJ
ajfa-525	49	3	smidth	smidth	ADJ
ajfa-525	49	4	(	(	PUNCT
ajfa-525	49	5	1984	1984	NUM
ajfa-525	49	6	)	)	PUNCT
ajfa-525	49	7	also	also	ADV
ajfa-525	49	8	found	find	VERB
ajfa-525	49	9	that	that	SCONJ
ajfa-525	49	10	the	the	DET
ajfa-525	49	11	stock	stock	NOUN
ajfa-525	49	12	prices	price	NOUN
ajfa-525	49	13	tended	tend	VERB
ajfa-525	49	14	to	to	PART
ajfa-525	49	15	increase	increase	VERB
ajfa-525	49	16	during	during	ADP
ajfa-525	49	17	the	the	DET
ajfa-525	49	18	last	last	ADJ
ajfa-525	49	19	trading	trading	NOUN
ajfa-525	49	20	day	day	NOUN
ajfa-525	49	21	prior	prior	ADV
ajfa-525	49	22	to	to	ADP
ajfa-525	49	23	christmas	christmas	PROPN
ajfa-525	49	24	day	day	NOUN
ajfa-525	49	25	for	for	ADP
ajfa-525	49	26	anysized	anysize	VERB
ajfa-525	49	27	firms	firm	NOUN
ajfa-525	49	28	.	.	PUNCT
ajfa-525	50	1	the	the	DET
ajfa-525	50	2	existence	existence	NOUN
ajfa-525	50	3	of	of	ADP
ajfa-525	50	4	high	high	ADJ
ajfa-525	50	5	returns	return	NOUN
ajfa-525	50	6	during	during	ADP
ajfa-525	50	7	christmas	christmas	ADJ
ajfa-525	50	8	period	period	NOUN
ajfa-525	50	9	is	be	AUX
ajfa-525	50	10	referred	refer	VERB
ajfa-525	50	11	to	to	ADP
ajfa-525	50	12	by	by	ADP
ajfa-525	50	13	them	they	PRON
ajfa-525	50	14	as	as	ADP
ajfa-525	50	15	another	another	DET
ajfa-525	50	16	mystery	mystery	NOUN
ajfa-525	50	17	in	in	ADP
ajfa-525	50	18	the	the	DET
ajfa-525	50	19	stock	stock	NOUN
ajfa-525	50	20	market	market	NOUN
ajfa-525	50	21	.	.	PUNCT
ajfa-525	51	1	several	several	ADJ
ajfa-525	51	2	researchers	researcher	NOUN
ajfa-525	51	3	term	term	VERB
ajfa-525	51	4	this	this	DET
ajfa-525	51	5	phenomenon	phenomenon	NOUN
ajfa-525	51	6	as	as	ADP
ajfa-525	51	7	the	the	DET
ajfa-525	51	8	turn	turn	NOUN
ajfa-525	51	9	-	-	PUNCT
ajfa-525	51	10	ofyear	ofyear	ADJ
ajfa-525	51	11	effect	effect	NOUN
ajfa-525	51	12	in	in	ADP
ajfa-525	51	13	which	which	PRON
ajfa-525	51	14	the	the	DET
ajfa-525	51	15	returns	return	NOUN
ajfa-525	51	16	are	be	AUX
ajfa-525	51	17	abnormally	abnormally	ADV
ajfa-525	51	18	high	high	ADJ
ajfa-525	51	19	during	during	ADP
ajfa-525	51	20	the	the	DET
ajfa-525	51	21	turn	turn	NOUN
ajfa-525	51	22	-	-	PUNCT
ajfa-525	51	23	of	of	ADP
ajfa-525	51	24	-	-	PUNCT
ajfa-525	51	25	the	the	DET
ajfa-525	51	26	-	-	PUNCT
ajfa-525	51	27	year	year	NOUN
ajfa-525	51	28	and	and	CCONJ
ajfa-525	51	29	turn	turn	NOUN
ajfa-525	51	30	-	-	PUNCT
ajfa-525	51	31	of	of	ADP
ajfa-525	51	32	-	-	PUNCT
ajfa-525	51	33	week	week	NOUN
ajfa-525	51	34	or	or	CCONJ
ajfa-525	51	35	weekend	weekend	NOUN
ajfa-525	51	36	effect	effect	NOUN
ajfa-525	51	37	,	,	PUNCT
ajfa-525	51	38	when	when	SCONJ
ajfa-525	51	39	the	the	DET
ajfa-525	51	40	returns	return	NOUN
ajfa-525	51	41	are	be	AUX
ajfa-525	51	42	abnormally	abnormally	ADV
ajfa-525	51	43	high	high	ADJ
ajfa-525	51	44	during	during	ADP
ajfa-525	51	45	the	the	DET
ajfa-525	51	46	day	day	NOUN
ajfa-525	51	47	before	before	ADP
ajfa-525	51	48	weekends	weekend	NOUN
ajfa-525	51	49	.	.	PUNCT
ajfa-525	52	1	if	if	SCONJ
ajfa-525	52	2	these	these	DET
ajfa-525	52	3	abnormal	abnormal	ADJ
ajfa-525	52	4	returns	return	NOUN
ajfa-525	52	5	occur	occur	VERB
ajfa-525	52	6	in	in	ADP
ajfa-525	52	7	fact	fact	NOUN
ajfa-525	52	8	at	at	ADP
ajfa-525	52	9	turn	turn	NOUN
ajfa-525	52	10	-	-	PUNCT
ajfa-525	52	11	of	of	ADP
ajfa-525	52	12	-	-	PUNCT
ajfa-525	52	13	year	year	NOUN
ajfa-525	52	14	,	,	PUNCT
ajfa-525	52	15	the	the	DET
ajfa-525	52	16	abnormal	abnormal	ADJ
ajfa-525	52	17	preholiday	preholiday	NOUN
ajfa-525	52	18	returns	return	NOUN
ajfa-525	52	19	should	should	AUX
ajfa-525	52	20	occur	occur	VERB
ajfa-525	52	21	only	only	ADV
ajfa-525	52	22	during	during	ADP
ajfa-525	52	23	christmas	christmas	PROPN
ajfa-525	52	24	and	and	CCONJ
ajfa-525	52	25	new	new	ADJ
ajfa-525	52	26	year	year	NOUN
ajfa-525	52	27	holidays	holiday	NOUN
ajfa-525	52	28	.	.	PUNCT
ajfa-525	53	1	however	however	ADV
ajfa-525	53	2	,	,	PUNCT
ajfa-525	53	3	there	there	PRON
ajfa-525	53	4	were	be	VERB
ajfa-525	53	5	other	other	ADJ
ajfa-525	53	6	studies	study	NOUN
ajfa-525	53	7	that	that	PRON
ajfa-525	53	8	found	find	VERB
ajfa-525	53	9	abnormal	abnormal	ADJ
ajfa-525	53	10	preholiday	preholiday	NOUN
ajfa-525	53	11	returns	return	NOUN
ajfa-525	53	12	during	during	ADP
ajfa-525	53	13	the	the	DET
ajfa-525	53	14	other	other	ADJ
ajfa-525	53	15	holidays	holiday	NOUN
ajfa-525	53	16	,	,	PUNCT
ajfa-525	53	17	not	not	PART
ajfa-525	53	18	only	only	ADV
ajfa-525	53	19	on	on	ADP
ajfa-525	53	20	christmas	christmas	PROPN
ajfa-525	53	21	and	and	CCONJ
ajfa-525	53	22	new	new	ADJ
ajfa-525	53	23	year	year	NOUN
ajfa-525	53	24	day	day	NOUN
ajfa-525	53	25	.	.	PUNCT
ajfa-525	54	1	lokonishok	lokonishok	NOUN
ajfa-525	54	2	and	and	CCONJ
ajfa-525	54	3	smidt	smidt	ADJ
ajfa-525	54	4	(	(	PUNCT
ajfa-525	54	5	1988	1988	NUM
ajfa-525	54	6	)	)	PUNCT
ajfa-525	54	7	showed	show	VERB
ajfa-525	54	8	that	that	SCONJ
ajfa-525	54	9	the	the	DET
ajfa-525	54	10	preholiday	preholiday	NOUN
ajfa-525	54	11	returns	return	NOUN
ajfa-525	54	12	were	be	AUX
ajfa-525	54	13	twenty	twenty	NUM
ajfa-525	54	14	-	-	PUNCT
ajfa-525	54	15	three	three	NUM
ajfa-525	54	16	times	time	NOUN
ajfa-525	54	17	higher	high	ADJ
ajfa-525	54	18	than	than	ADP
ajfa-525	54	19	average	average	ADJ
ajfa-525	54	20	returns	return	NOUN
ajfa-525	54	21	on	on	ADP
ajfa-525	54	22	the	the	DET
ajfa-525	54	23	other	other	ADJ
ajfa-525	54	24	ordinary	ordinary	ADJ
ajfa-525	54	25	days	day	NOUN
ajfa-525	54	26	.	.	PUNCT
ajfa-525	55	1	they	they	PRON
ajfa-525	55	2	also	also	ADV
ajfa-525	55	3	pointed	point	VERB
ajfa-525	55	4	out	out	ADP
ajfa-525	55	5	that	that	SCONJ
ajfa-525	55	6	preholiday	preholiday	NOUN
ajfa-525	55	7	abnormal	abnormal	ADJ
ajfa-525	55	8	returns	return	NOUN
ajfa-525	55	9	were	be	AUX
ajfa-525	55	10	higher	high	ADJ
ajfa-525	55	11	than	than	ADP
ajfa-525	55	12	abnormal	abnormal	ADJ
ajfa-525	55	13	returns	return	NOUN
ajfa-525	55	14	on	on	ADP
ajfa-525	55	15	fridays	friday	NOUN
ajfa-525	55	16	.	.	PUNCT
ajfa-525	56	1	this	this	DET
ajfa-525	56	2	situation	situation	NOUN
ajfa-525	56	3	is	be	AUX
ajfa-525	56	4	known	know	VERB
ajfa-525	56	5	as	as	ADP
ajfa-525	56	6	weekend	weekend	NOUN
ajfa-525	56	7	effect	effect	NOUN
ajfa-525	56	8	.	.	PUNCT
ajfa-525	57	1	meanwhile	meanwhile	ADV
ajfa-525	57	2	the	the	DET
ajfa-525	57	3	returns	return	NOUN
ajfa-525	57	4	on	on	ADP
ajfa-525	57	5	post	post	ADJ
ajfa-525	57	6	-	-	ADJ
ajfa-525	57	7	holiday	holiday	ADJ
ajfa-525	57	8	days	day	NOUN
ajfa-525	57	9	were	be	AUX
ajfa-525	57	10	negative	negative	ADJ
ajfa-525	57	11	,	,	PUNCT
ajfa-525	57	12	although	although	SCONJ
ajfa-525	57	13	insignificant	insignificant	ADJ
ajfa-525	57	14	,	,	PUNCT
ajfa-525	57	15	and	and	CCONJ
ajfa-525	57	16	were	be	AUX
ajfa-525	57	17	much	much	ADV
ajfa-525	57	18	more	more	ADV
ajfa-525	57	19	negative	negative	ADJ
ajfa-525	57	20	than	than	ADP
ajfa-525	57	21	monday	monday	PROPN
ajfa-525	57	22	returns	return	NOUN
ajfa-525	57	23	.	.	PUNCT
ajfa-525	58	1	ariel	ariel	PROPN
ajfa-525	58	2	(	(	PUNCT
ajfa-525	58	3	1990	1990	NUM
ajfa-525	58	4	)	)	PUNCT
ajfa-525	58	5	showed	show	VERB
ajfa-525	58	6	that	that	SCONJ
ajfa-525	58	7	the	the	DET
ajfa-525	58	8	returns	return	NOUN
ajfa-525	58	9	on	on	ADP
ajfa-525	58	10	preholiday	preholiday	NOUN
ajfa-525	58	11	trading	trading	NOUN
ajfa-525	58	12	days	day	NOUN
ajfa-525	58	13	were	be	AUX
ajfa-525	58	14	significantly	significantly	ADV
ajfa-525	58	15	high	high	ADJ
ajfa-525	58	16	compared	compare	VERB
ajfa-525	58	17	to	to	ADP
ajfa-525	58	18	those	those	PRON
ajfa-525	58	19	on	on	ADP
ajfa-525	58	20	the	the	DET
ajfa-525	58	21	other	other	ADJ
ajfa-525	58	22	days	day	NOUN
ajfa-525	58	23	.	.	PUNCT
ajfa-525	59	1	his	his	PRON
ajfa-525	59	2	studies	study	NOUN
ajfa-525	59	3	revealed	reveal	VERB
ajfa-525	59	4	that	that	SCONJ
ajfa-525	59	5	the	the	DET
ajfa-525	59	6	average	average	ADJ
ajfa-525	59	7	preholiday	preholiday	NOUN
ajfa-525	59	8	returns	return	NOUN
ajfa-525	59	9	were	be	AUX
ajfa-525	59	10	around	around	ADV
ajfa-525	59	11	nine	nine	NUM
ajfa-525	59	12	to	to	PART
ajfa-525	59	13	fourteen	fourteen	NUM
ajfa-525	59	14	times	time	NOUN
ajfa-525	59	15	greater	great	ADJ
ajfa-525	59	16	than	than	ADP
ajfa-525	59	17	the	the	DET
ajfa-525	59	18	returns	return	NOUN
ajfa-525	59	19	on	on	ADP
ajfa-525	59	20	non	non	ADJ
ajfa-525	59	21	pre	pre	ADJ
ajfa-525	59	22	-	-	ADJ
ajfa-525	59	23	holiday	holiday	ADJ
ajfa-525	59	24	days	day	NOUN
ajfa-525	59	25	.	.	PUNCT
ajfa-525	60	1	these	these	DET
ajfa-525	60	2	abnormal	abnormal	ADJ
ajfa-525	60	3	preholiday	preholiday	NOUN
ajfa-525	60	4	returns	return	NOUN
ajfa-525	60	5	are	be	AUX
ajfa-525	60	6	results	result	NOUN
ajfa-525	60	7	of	of	ADP
ajfa-525	60	8	purchasing	purchase	VERB
ajfa-525	60	9	pressure	pressure	NOUN
ajfa-525	60	10	made	make	VERB
ajfa-525	60	11	by	by	ADP
ajfa-525	60	12	investors	investor	NOUN
ajfa-525	60	13	who	who	PRON
ajfa-525	60	14	would	would	AUX
ajfa-525	60	15	like	like	VERB
ajfa-525	60	16	to	to	PART
ajfa-525	60	17	close	close	VERB
ajfa-525	60	18	their	their	PRON
ajfa-525	60	19	short	short	ADJ
ajfa-525	60	20	position	position	NOUN
ajfa-525	60	21	before	before	ADP
ajfa-525	60	22	holidays	holiday	NOUN
ajfa-525	60	23	.	.	PUNCT
ajfa-525	61	1	chan	chan	PROPN
ajfa-525	61	2	,	,	PUNCT
ajfa-525	61	3	khanthavit	khanthavit	PROPN
ajfa-525	61	4	,	,	PUNCT
ajfa-525	61	5	and	and	CCONJ
ajfa-525	61	6	thomas	thomas	PROPN
ajfa-525	61	7	(	(	PUNCT
ajfa-525	61	8	1996	1996	NUM
ajfa-525	61	9	)	)	PUNCT
ajfa-525	61	10	studied	study	VERB
ajfa-525	61	11	this	this	DET
ajfa-525	61	12	holiday	holiday	NOUN
ajfa-525	61	13	effect	effect	NOUN
ajfa-525	61	14	by	by	ADP
ajfa-525	61	15	distinguishing	distinguish	VERB
ajfa-525	61	16	between	between	ADP
ajfa-525	61	17	state	state	NOUN
ajfa-525	61	18	holidays	holiday	NOUN
ajfa-525	61	19	and	and	CCONJ
ajfa-525	61	20	cultural	cultural	ADJ
ajfa-525	61	21	holidays	holiday	NOUN
ajfa-525	61	22	in	in	ADP
ajfa-525	61	23	malaysia	malaysia	PROPN
ajfa-525	61	24	,	,	PUNCT
ajfa-525	61	25	india	india	PROPN
ajfa-525	61	26	,	,	PUNCT
ajfa-525	61	27	singapore	singapore	PROPN
ajfa-525	61	28	and	and	CCONJ
ajfa-525	61	29	thailand	thailand	PROPN
ajfa-525	61	30	.	.	PUNCT
ajfa-525	62	1	except	except	SCONJ
ajfa-525	62	2	for	for	ADP
ajfa-525	62	3	thailand	thailand	PROPN
ajfa-525	62	4	,	,	PUNCT
ajfa-525	62	5	the	the	DET
ajfa-525	62	6	result	result	NOUN
ajfa-525	62	7	showed	show	VERB
ajfa-525	62	8	that	that	SCONJ
ajfa-525	62	9	the	the	DET
ajfa-525	62	10	other	other	ADJ
ajfa-525	62	11	three	three	NUM
ajfa-525	62	12	countries	country	NOUN
ajfa-525	62	13	had	have	VERB
ajfa-525	62	14	significant	significant	ADJ
ajfa-525	62	15	abnormal	abnormal	ADJ
ajfa-525	62	16	returns	return	NOUN
ajfa-525	62	17	during	during	ADP
ajfa-525	62	18	preholiday	preholiday	NOUN
ajfa-525	62	19	periods	period	NOUN
ajfa-525	62	20	for	for	ADP
ajfa-525	62	21	cultural	cultural	ADJ
ajfa-525	62	22	holidays	holiday	NOUN
ajfa-525	62	23	while	while	SCONJ
ajfa-525	62	24	all	all	DET
ajfa-525	62	25	four	four	NUM
ajfa-525	62	26	countries	country	NOUN
ajfa-525	62	27	did	do	AUX
ajfa-525	62	28	not	not	PART
ajfa-525	62	29	have	have	VERB
ajfa-525	62	30	abnormal	abnormal	ADJ
ajfa-525	62	31	preholiday	preholiday	NOUN
ajfa-525	62	32	returns	return	NOUN
ajfa-525	62	33	for	for	ADP
ajfa-525	62	34	state	state	NOUN
ajfa-525	62	35	holidays	holiday	NOUN
ajfa-525	62	36	.	.	PUNCT
ajfa-525	63	1	seiler	seiler	NOUN
ajfa-525	63	2	(	(	PUNCT
ajfa-525	63	3	1993	1993	NUM
ajfa-525	63	4	)	)	PUNCT
ajfa-525	63	5	studied	study	VERB
ajfa-525	63	6	the	the	DET
ajfa-525	63	7	effect	effect	NOUN
ajfa-525	63	8	of	of	ADP
ajfa-525	63	9	market	market	NOUN
ajfa-525	63	10	to	to	ADP
ajfa-525	63	11	stock	stock	NOUN
ajfa-525	63	12	returns	return	NOUN
ajfa-525	63	13	by	by	ADP
ajfa-525	63	14	focusing	focus	VERB
ajfa-525	63	15	on	on	ADP
ajfa-525	63	16	special	special	ADJ
ajfa-525	63	17	closings	closing	NOUN
ajfa-525	63	18	besides	besides	SCONJ
ajfa-525	63	19	the	the	DET
ajfa-525	63	20	common	common	ADJ
ajfa-525	63	21	holidays	holiday	NOUN
ajfa-525	63	22	.	.	PUNCT
ajfa-525	64	1	the	the	DET
ajfa-525	64	2	stock	stock	NOUN
ajfa-525	64	3	returns	return	NOUN
ajfa-525	64	4	prior	prior	ADV
ajfa-525	64	5	to	to	ADP
ajfa-525	64	6	these	these	DET
ajfa-525	64	7	special	special	ADJ
ajfa-525	64	8	closings	closing	NOUN
ajfa-525	64	9	showed	show	VERB
ajfa-525	64	10	above	above	ADP
ajfa-525	64	11	-	-	PUNCT
ajfa-525	64	12	average	average	ADJ
ajfa-525	64	13	returns	return	NOUN
ajfa-525	64	14	.	.	PUNCT
ajfa-525	65	1	he	he	PRON
ajfa-525	65	2	divided	divide	VERB
ajfa-525	65	3	these	these	DET
ajfa-525	65	4	special	special	ADJ
ajfa-525	65	5	holidays	holiday	NOUN
ajfa-525	65	6	into	into	ADP
ajfa-525	65	7	institutional	institutional	ADJ
ajfa-525	65	8	special	special	ADJ
ajfa-525	65	9	closings	closing	NOUN
ajfa-525	65	10	that	that	PRON
ajfa-525	65	11	were	be	AUX
ajfa-525	65	12	related	relate	VERB
ajfa-525	65	13	to	to	ADP
ajfa-525	65	14	stock	stock	NOUN
ajfa-525	65	15	exchange	exchange	NOUN
ajfa-525	65	16	and	and	CCONJ
ajfa-525	65	17	non	non	ADJ
ajfa-525	65	18	-	-	ADJ
ajfa-525	65	19	institutional	institutional	ADJ
ajfa-525	65	20	special	special	ADJ
ajfa-525	65	21	closings	closing	NOUN
ajfa-525	65	22	that	that	PRON
ajfa-525	65	23	were	be	AUX
ajfa-525	65	24	exogenous	exogenous	ADJ
ajfa-525	65	25	to	to	ADP
ajfa-525	65	26	stock	stock	NOUN
ajfa-525	65	27	exchange	exchange	NOUN
ajfa-525	65	28	.	.	PUNCT
ajfa-525	66	1	the	the	DET
ajfa-525	66	2	stock	stock	NOUN
ajfa-525	66	3	returns	return	NOUN
ajfa-525	66	4	prior	prior	ADV
ajfa-525	66	5	to	to	ADP
ajfa-525	66	6	institutional	institutional	ADJ
ajfa-525	66	7	special	special	ADJ
ajfa-525	66	8	closings	closing	NOUN
ajfa-525	66	9	were	be	AUX
ajfa-525	66	10	30.96	30.96	NUM
ajfa-525	66	11	times	time	NOUN
ajfa-525	66	12	greater	great	ADJ
ajfa-525	66	13	than	than	ADP
ajfa-525	66	14	the	the	DET
ajfa-525	66	15	average	average	NOUN
ajfa-525	66	16	while	while	SCONJ
ajfa-525	66	17	the	the	DET
ajfa-525	66	18	stock	stock	NOUN
ajfa-525	66	19	returns	return	VERB
ajfa-525	66	20	prior	prior	ADV
ajfa-525	66	21	to	to	ADP
ajfa-525	66	22	noninstitutional	noninstitutional	ADJ
ajfa-525	66	23	special	special	ADJ
ajfa-525	66	24	closings	closing	NOUN
ajfa-525	66	25	were	be	AUX
ajfa-525	66	26	11.04	11.04	NUM
ajfa-525	66	27	times	time	NOUN
ajfa-525	66	28	higher	high	ADJ
ajfa-525	66	29	than	than	ADP
ajfa-525	66	30	the	the	DET
ajfa-525	66	31	average	average	NOUN
ajfa-525	66	32	.	.	PUNCT
ajfa-525	67	1	picou	picou	PROPN
ajfa-525	67	2	(	(	PUNCT
ajfa-525	67	3	2006	2006	NUM
ajfa-525	67	4	)	)	PUNCT
ajfa-525	67	5	examined	examine	VERB
ajfa-525	67	6	the	the	DET
ajfa-525	67	7	holiday	holiday	NOUN
ajfa-525	67	8	effect	effect	NOUN
ajfa-525	67	9	internationally	internationally	ADV
ajfa-525	67	10	by	by	ADP
ajfa-525	67	11	examining	examine	VERB
ajfa-525	67	12	six	six	NUM
ajfa-525	67	13	major	major	ADJ
ajfa-525	67	14	exchanges	exchange	NOUN
ajfa-525	67	15	,	,	PUNCT
ajfa-525	67	16	us	we	PRON
ajfa-525	67	17	,	,	PUNCT
ajfa-525	67	18	australia	australia	PROPN
ajfa-525	67	19	,	,	PUNCT
ajfa-525	67	20	hong	hong	PROPN
ajfa-525	67	21	kong	kong	PROPN
ajfa-525	67	22	,	,	PUNCT
ajfa-525	67	23	uk	uk	PROPN
ajfa-525	67	24	,	,	PUNCT
ajfa-525	67	25	japan	japan	PROPN
ajfa-525	67	26	,	,	PUNCT
ajfa-525	67	27	and	and	CCONJ
ajfa-525	67	28	canada	canada	PROPN
ajfa-525	67	29	.	.	PUNCT
ajfa-525	68	1	he	he	PRON
ajfa-525	68	2	found	find	VERB
ajfa-525	68	3	that	that	SCONJ
ajfa-525	68	4	the	the	DET
ajfa-525	68	5	holiday	holiday	NOUN
ajfa-525	68	6	effect	effect	NOUN
ajfa-525	68	7	still	still	ADV
ajfa-525	68	8	existed	exist	VERB
ajfa-525	68	9	and	and	CCONJ
ajfa-525	68	10	there	there	PRON
ajfa-525	68	11	were	be	VERB
ajfa-525	68	12	some	some	DET
ajfa-525	68	13	commonality	commonality	NOUN
ajfa-525	68	14	for	for	ADP
ajfa-525	68	15	the	the	DET
ajfa-525	68	16	holiday	holiday	NOUN
ajfa-525	68	17	relation	relation	NOUN
ajfa-525	68	18	among	among	ADP
ajfa-525	68	19	six	six	NUM
ajfa-525	68	20	exchanges	exchange	NOUN
ajfa-525	68	21	.	.	PUNCT
ajfa-525	69	1	this	this	PRON
ajfa-525	69	2	was	be	AUX
ajfa-525	69	3	the	the	DET
ajfa-525	69	4	evidence	evidence	NOUN
ajfa-525	69	5	for	for	ADP
ajfa-525	69	6	the	the	DET
ajfa-525	69	7	holiday	holiday	NOUN
ajfa-525	69	8	effect	effect	NOUN
ajfa-525	69	9	spillover	spillover	VERB
ajfa-525	69	10	,	,	PUNCT
ajfa-525	69	11	which	which	PRON
ajfa-525	69	12	created	create	VERB
ajfa-525	69	13	the	the	DET
ajfa-525	69	14	opportunity	opportunity	NOUN
ajfa-525	69	15	to	to	PART
ajfa-525	69	16	make	make	VERB
ajfa-525	69	17	profit	profit	NOUN
ajfa-525	69	18	.	.	PUNCT
ajfa-525	70	1	for	for	ADP
ajfa-525	70	2	volatility	volatility	NOUN
ajfa-525	70	3	measurement	measurement	NOUN
ajfa-525	70	4	,	,	PUNCT
ajfa-525	70	5	kiymaz	kiymaz	NOUN
ajfa-525	70	6	and	and	CCONJ
ajfa-525	70	7	berument	berument	ADJ
ajfa-525	70	8	(	(	PUNCT
ajfa-525	70	9	2003	2003	NUM
ajfa-525	70	10	)	)	PUNCT
ajfa-525	70	11	employed	employ	VERB
ajfa-525	70	12	the	the	DET
ajfa-525	70	13	conditional	conditional	ADJ
ajfa-525	70	14	volatility	volatility	NOUN
ajfa-525	70	15	model	model	NOUN
ajfa-525	70	16	to	to	PART
ajfa-525	70	17	address	address	VERB
ajfa-525	70	18	the	the	DET
ajfa-525	70	19	difference	difference	NOUN
ajfa-525	70	20	in	in	ADP
ajfa-525	70	21	volatility	volatility	NOUN
ajfa-525	70	22	level	level	NOUN
ajfa-525	70	23	among	among	ADP
ajfa-525	70	24	different	different	ADJ
ajfa-525	70	25	trading	trading	NOUN
ajfa-525	70	26	days	day	NOUN
ajfa-525	70	27	of	of	ADP
ajfa-525	70	28	the	the	DET
ajfa-525	70	29	week	week	NOUN
ajfa-525	70	30	.	.	PUNCT
ajfa-525	71	1	they	they	PRON
ajfa-525	71	2	found	find	VERB
ajfa-525	71	3	that	that	SCONJ
ajfa-525	71	4	the	the	DET
ajfa-525	71	5	volatility	volatility	NOUN
ajfa-525	71	6	was	be	AUX
ajfa-525	71	7	abnormally	abnormally	ADV
ajfa-525	71	8	high	high	ADJ
ajfa-525	71	9	for	for	ADP
ajfa-525	71	10	some	some	DET
ajfa-525	71	11	specific	specific	ADJ
ajfa-525	71	12	weekdays	weekday	NOUN
ajfa-525	71	13	.	.	PUNCT
ajfa-525	72	1	these	these	DET
ajfa-525	72	2	week	week	NOUN
ajfa-525	72	3	days	day	NOUN
ajfa-525	72	4	were	be	AUX
ajfa-525	72	5	different	different	ADJ
ajfa-525	72	6	in	in	ADP
ajfa-525	72	7	each	each	DET
ajfa-525	72	8	country	country	NOUN
ajfa-525	72	9	.	.	PUNCT
ajfa-525	73	1	for	for	ADP
ajfa-525	73	2	example	example	NOUN
ajfa-525	73	3	,	,	PUNCT
ajfa-525	73	4	the	the	DET
ajfa-525	73	5	highest	high	ADJ
ajfa-525	73	6	volatility	volatility	NOUN
ajfa-525	73	7	of	of	ADP
ajfa-525	73	8	stock	stock	NOUN
ajfa-525	73	9	returns	return	NOUN
ajfa-525	73	10	was	be	AUX
ajfa-525	73	11	on	on	ADP
ajfa-525	73	12	mondays	monday	NOUN
ajfa-525	73	13	for	for	ADP
ajfa-525	73	14	germany	germany	PROPN
ajfa-525	73	15	and	and	CCONJ
ajfa-525	73	16	japan	japan	PROPN
ajfa-525	73	17	but	but	CCONJ
ajfa-525	73	18	fridays	fridays	PROPN
ajfa-525	73	19	for	for	ADP
ajfa-525	73	20	canada	canada	PROPN
ajfa-525	73	21	and	and	CCONJ
ajfa-525	73	22	us	we	PRON
ajfa-525	73	23	.	.	PUNCT
ajfa-525	74	1	asian	asian	ADJ
ajfa-525	74	2	 	 	SPACE
ajfa-525	74	3	journal	journal	NOUN
ajfa-525	74	4	 	 	SPACE
ajfa-525	74	5	of	of	ADP
ajfa-525	74	6	 	 	SPACE
ajfa-525	74	7	finance	finance	NOUN
ajfa-525	74	8	 	 	SPACE
ajfa-525	74	9	&	&	CCONJ
ajfa-525	74	10	 	 	SPACE
ajfa-525	74	11	accounting	account	VERB
ajfa-525	74	12	  	  	SPACE
ajfa-525	74	13	issn	issn	PROPN
ajfa-525	74	14	 	 	SPACE
ajfa-525	74	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	74	16	  	  	SPACE
ajfa-525	74	17	2010	2010	NUM
ajfa-525	74	18	,	,	PUNCT
ajfa-525	74	19	 	 	SPACE
ajfa-525	74	20	vol	vol	NOUN
ajfa-525	74	21	.	.	PUNCT
ajfa-525	74	22	 	 	SPACE
ajfa-525	74	23	2	2	NUM
ajfa-525	74	24	,	,	PUNCT
ajfa-525	74	25	 	 	SPACE
ajfa-525	74	26	no	no	INTJ
ajfa-525	74	27	.	.	PUNCT
ajfa-525	74	28	 	 	SPACE
ajfa-525	74	29	2	2	NUM
ajfa-525	74	30	,	,	PUNCT
ajfa-525	74	31	   	   	SPACE
ajfa-525	74	32	x	x	NOUN
ajfa-525	74	33	:	:	PUNCT
ajfa-525	74	34	 	 	SPACE
ajfa-525	74	35	e3	e3	VERB
ajfa-525	74	36	      	      	SPACE
ajfa-525	74	37	44	44	NUM
ajfa-525	74	38	  	  	SPACE
ajfa-525	74	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	74	40	  	  	SPACE
ajfa-525	74	41	normally	normally	ADV
ajfa-525	74	42	,	,	PUNCT
ajfa-525	74	43	the	the	DET
ajfa-525	74	44	stock	stock	NOUN
ajfa-525	74	45	market	market	NOUN
ajfa-525	74	46	is	be	AUX
ajfa-525	74	47	characterized	characterize	VERB
ajfa-525	74	48	by	by	ADP
ajfa-525	74	49	time	time	NOUN
ajfa-525	74	50	varying	vary	VERB
ajfa-525	74	51	volatility	volatility	NOUN
ajfa-525	74	52	,	,	PUNCT
ajfa-525	74	53	which	which	PRON
ajfa-525	74	54	could	could	AUX
ajfa-525	74	55	be	be	AUX
ajfa-525	74	56	captured	capture	VERB
ajfa-525	74	57	by	by	ADP
ajfa-525	74	58	conditional	conditional	ADJ
ajfa-525	74	59	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	74	60	.	.	PUNCT
ajfa-525	75	1	the	the	DET
ajfa-525	75	2	first	first	ADJ
ajfa-525	75	3	acceptable	acceptable	ADJ
ajfa-525	75	4	model	model	NOUN
ajfa-525	75	5	to	to	PART
ajfa-525	75	6	explain	explain	VERB
ajfa-525	75	7	this	this	DET
ajfa-525	75	8	conditional	conditional	ADJ
ajfa-525	75	9	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	75	10	is	be	AUX
ajfa-525	75	11	autoregressive	autoregressive	ADJ
ajfa-525	75	12	conditional	conditional	ADJ
ajfa-525	75	13	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	75	14	or	or	CCONJ
ajfa-525	75	15	arch	arch	ADJ
ajfa-525	75	16	model	model	NOUN
ajfa-525	75	17	proposed	propose	VERB
ajfa-525	75	18	by	by	ADP
ajfa-525	75	19	engle	engle	PROPN
ajfa-525	75	20	(	(	PUNCT
ajfa-525	75	21	1982	1982	NUM
ajfa-525	75	22	)	)	PUNCT
ajfa-525	75	23	.	.	PUNCT
ajfa-525	76	1	bollerslev	bollerslev	ADJ
ajfa-525	76	2	(	(	PUNCT
ajfa-525	76	3	1986	1986	NUM
ajfa-525	76	4	)	)	PUNCT
ajfa-525	76	5	introduced	introduce	VERB
ajfa-525	76	6	the	the	DET
ajfa-525	76	7	general	general	ADJ
ajfa-525	76	8	model	model	NOUN
ajfa-525	76	9	for	for	ADP
ajfa-525	76	10	arch	arch	NOUN
ajfa-525	76	11	as	as	ADP
ajfa-525	76	12	generalized	generalized	ADJ
ajfa-525	76	13	autoregressive	autoregressive	ADJ
ajfa-525	76	14	conditional	conditional	ADJ
ajfa-525	76	15	heteroskedastics	heteroskedastic	NOUN
ajfa-525	76	16	,	,	PUNCT
ajfa-525	76	17	or	or	CCONJ
ajfa-525	76	18	garch	garch	NOUN
ajfa-525	76	19	model	model	NOUN
ajfa-525	76	20	.	.	PUNCT
ajfa-525	77	1	akgiray	akgiray	PROPN
ajfa-525	77	2	(	(	PUNCT
ajfa-525	77	3	1989	1989	NUM
ajfa-525	77	4	)	)	PUNCT
ajfa-525	77	5	showed	show	VERB
ajfa-525	77	6	the	the	DET
ajfa-525	77	7	empirical	empirical	ADJ
ajfa-525	77	8	evidence	evidence	NOUN
ajfa-525	77	9	that	that	DET
ajfa-525	77	10	garch(1,1	garch(1,1	NOUN
ajfa-525	77	11	)	)	PUNCT
ajfa-525	77	12	,	,	PUNCT
ajfa-525	77	13	which	which	PRON
ajfa-525	77	14	was	be	AUX
ajfa-525	77	15	parsimonious	parsimonious	ADJ
ajfa-525	77	16	,	,	PUNCT
ajfa-525	77	17	could	could	AUX
ajfa-525	77	18	capture	capture	VERB
ajfa-525	77	19	the	the	DET
ajfa-525	77	20	volatility	volatility	NOUN
ajfa-525	77	21	of	of	ADP
ajfa-525	77	22	stock	stock	NOUN
ajfa-525	77	23	returns	return	NOUN
ajfa-525	77	24	better	well	ADV
ajfa-525	77	25	than	than	ADP
ajfa-525	77	26	the	the	DET
ajfa-525	77	27	other	other	ADJ
ajfa-525	77	28	volatility	volatility	NOUN
ajfa-525	77	29	models	model	NOUN
ajfa-525	77	30	like	like	ADP
ajfa-525	77	31	exponential	exponential	NOUN
ajfa-525	77	32	weighted	weighted	AUX
ajfa-525	77	33	moving	move	VERB
ajfa-525	77	34	average	average	ADJ
ajfa-525	77	35	(	(	PUNCT
ajfa-525	77	36	ewma	ewma	NOUN
ajfa-525	77	37	)	)	PUNCT
ajfa-525	77	38	or	or	CCONJ
ajfa-525	77	39	autoregressive	autoregressive	ADJ
ajfa-525	77	40	conditional	conditional	ADJ
ajfa-525	77	41	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	77	42	(	(	PUNCT
ajfa-525	77	43	arch	arch	ADJ
ajfa-525	77	44	)	)	PUNCT
ajfa-525	77	45	models	model	NOUN
ajfa-525	77	46	.	.	PUNCT
ajfa-525	78	1	after	after	ADP
ajfa-525	78	2	the	the	DET
ajfa-525	78	3	introduction	introduction	NOUN
ajfa-525	78	4	of	of	ADP
ajfa-525	78	5	capital	capital	NOUN
ajfa-525	78	6	asset	asset	NOUN
ajfa-525	78	7	pricing	pricing	NOUN
ajfa-525	78	8	model	model	NOUN
ajfa-525	78	9	or	or	CCONJ
ajfa-525	78	10	capm	capm	PROPN
ajfa-525	78	11	(	(	PUNCT
ajfa-525	78	12	sharpe	sharpe	PROPN
ajfa-525	78	13	,	,	PUNCT
ajfa-525	78	14	1964	1964	NUM
ajfa-525	78	15	;	;	PUNCT
ajfa-525	78	16	lintner	lintner	NOUN
ajfa-525	78	17	,	,	PUNCT
ajfa-525	78	18	1965	1965	NUM
ajfa-525	78	19	;	;	PUNCT
ajfa-525	78	20	mossin	mossin	NOUN
ajfa-525	78	21	,	,	PUNCT
ajfa-525	78	22	1966	1966	NUM
ajfa-525	78	23	;	;	PUNCT
ajfa-525	78	24	black	black	ADJ
ajfa-525	78	25	,	,	PUNCT
ajfa-525	78	26	1972	1972	NUM
ajfa-525	78	27	)	)	PUNCT
ajfa-525	78	28	it	it	PRON
ajfa-525	78	29	became	become	VERB
ajfa-525	78	30	the	the	DET
ajfa-525	78	31	dominant	dominant	ADJ
ajfa-525	78	32	and	and	CCONJ
ajfa-525	78	33	most	most	ADV
ajfa-525	78	34	popular	popular	ADJ
ajfa-525	78	35	asset	asset	NOUN
ajfa-525	78	36	pricing	pricing	NOUN
ajfa-525	78	37	model	model	NOUN
ajfa-525	78	38	.	.	PUNCT
ajfa-525	79	1	this	this	DET
ajfa-525	79	2	model	model	NOUN
ajfa-525	79	3	is	be	AUX
ajfa-525	79	4	based	base	VERB
ajfa-525	79	5	on	on	ADP
ajfa-525	79	6	the	the	DET
ajfa-525	79	7	basic	basic	ADJ
ajfa-525	79	8	principle	principle	NOUN
ajfa-525	79	9	that	that	SCONJ
ajfa-525	79	10	risk	risk	NOUN
ajfa-525	79	11	should	should	AUX
ajfa-525	79	12	be	be	AUX
ajfa-525	79	13	priced	price	VERB
ajfa-525	79	14	by	by	ADP
ajfa-525	79	15	rational	rational	ADJ
ajfa-525	79	16	risk	risk	NOUN
ajfa-525	79	17	-	-	PUNCT
ajfa-525	79	18	averse	averse	ADJ
ajfa-525	79	19	investors	investor	NOUN
ajfa-525	79	20	.	.	PUNCT
ajfa-525	80	1	engle	engle	PROPN
ajfa-525	80	2	,	,	PUNCT
ajfa-525	80	3	lilien	lilien	PROPN
ajfa-525	80	4	,	,	PUNCT
ajfa-525	80	5	and	and	CCONJ
ajfa-525	80	6	robins	robin	NOUN
ajfa-525	80	7	(	(	PUNCT
ajfa-525	80	8	1987	1987	NUM
ajfa-525	80	9	)	)	PUNCT
ajfa-525	80	10	introduced	introduce	VERB
ajfa-525	80	11	an	an	DET
ajfa-525	80	12	extension	extension	NOUN
ajfa-525	80	13	to	to	ADP
ajfa-525	80	14	the	the	DET
ajfa-525	80	15	garch	garch	NOUN
ajfa-525	80	16	model	model	NOUN
ajfa-525	80	17	by	by	ADP
ajfa-525	80	18	including	include	VERB
ajfa-525	80	19	the	the	DET
ajfa-525	80	20	volatility	volatility	NOUN
ajfa-525	80	21	measure	measure	NOUN
ajfa-525	80	22	from	from	ADP
ajfa-525	80	23	variance	variance	NOUN
ajfa-525	80	24	equation	equation	NOUN
ajfa-525	80	25	to	to	PART
ajfa-525	80	26	mean	mean	VERB
ajfa-525	80	27	equation	equation	NOUN
ajfa-525	80	28	as	as	ADP
ajfa-525	80	29	using	use	VERB
ajfa-525	80	30	the	the	DET
ajfa-525	80	31	volatility	volatility	NOUN
ajfa-525	80	32	to	to	PART
ajfa-525	80	33	capture	capture	VERB
ajfa-525	80	34	the	the	DET
ajfa-525	80	35	risk	risk	NOUN
ajfa-525	80	36	premium	premium	NOUN
ajfa-525	80	37	as	as	ADP
ajfa-525	80	38	the	the	DET
ajfa-525	80	39	concept	concept	NOUN
ajfa-525	80	40	that	that	SCONJ
ajfa-525	80	41	the	the	DET
ajfa-525	80	42	risk	risk	NOUN
ajfa-525	80	43	should	should	AUX
ajfa-525	80	44	be	be	AUX
ajfa-525	80	45	priced	price	VERB
ajfa-525	80	46	by	by	ADP
ajfa-525	80	47	rational	rational	ADJ
ajfa-525	80	48	investors	investor	NOUN
ajfa-525	80	49	.	.	PUNCT
ajfa-525	81	1	the	the	DET
ajfa-525	81	2	model	model	NOUN
ajfa-525	81	3	was	be	AUX
ajfa-525	81	4	known	know	VERB
ajfa-525	81	5	as	as	ADP
ajfa-525	81	6	garch	garch	NOUN
ajfa-525	81	7	in	in	ADP
ajfa-525	81	8	mean	mean	NOUN
ajfa-525	81	9	or	or	CCONJ
ajfa-525	81	10	garch	garch	NOUN
ajfa-525	81	11	-	-	PUNCT
ajfa-525	81	12	m	m	NOUN
ajfa-525	81	13	model	model	NOUN
ajfa-525	81	14	.	.	PUNCT
ajfa-525	82	1	another	another	DET
ajfa-525	82	2	popular	popular	ADJ
ajfa-525	82	3	extension	extension	NOUN
ajfa-525	82	4	of	of	ADP
ajfa-525	82	5	garch	garch	NOUN
ajfa-525	82	6	model	model	NOUN
ajfa-525	82	7	was	be	AUX
ajfa-525	82	8	proposed	propose	VERB
ajfa-525	82	9	by	by	ADP
ajfa-525	82	10	nelson	nelson	PROPN
ajfa-525	82	11	(	(	PUNCT
ajfa-525	82	12	1991	1991	NUM
ajfa-525	82	13	)	)	PUNCT
ajfa-525	82	14	as	as	ADP
ajfa-525	82	15	exponential	exponential	ADJ
ajfa-525	82	16	garch	garch	NOUN
ajfa-525	82	17	or	or	CCONJ
ajfa-525	82	18	egarch	egarch	NOUN
ajfa-525	82	19	.	.	PUNCT
ajfa-525	83	1	egarch	egarch	PROPN
ajfa-525	83	2	could	could	AUX
ajfa-525	83	3	improve	improve	VERB
ajfa-525	83	4	garch	garch	NOUN
ajfa-525	83	5	model	model	NOUN
ajfa-525	83	6	by	by	ADP
ajfa-525	83	7	allowing	allow	VERB
ajfa-525	83	8	asymmetric	asymmetric	ADJ
ajfa-525	83	9	responses	response	NOUN
ajfa-525	83	10	of	of	ADP
ajfa-525	83	11	conditional	conditional	ADJ
ajfa-525	83	12	variance	variance	NOUN
ajfa-525	83	13	to	to	ADP
ajfa-525	83	14	the	the	DET
ajfa-525	83	15	movement	movement	NOUN
ajfa-525	83	16	of	of	ADP
ajfa-525	83	17	return	return	NOUN
ajfa-525	83	18	.	.	PUNCT
ajfa-525	84	1	3	3	X
ajfa-525	84	2	.	.	X
ajfa-525	84	3	data	datum	NOUN
ajfa-525	84	4	and	and	CCONJ
ajfa-525	84	5	methodology	methodology	NOUN
ajfa-525	84	6	the	the	DET
ajfa-525	84	7	daily	daily	ADJ
ajfa-525	84	8	data	datum	NOUN
ajfa-525	84	9	for	for	ADP
ajfa-525	84	10	set	set	ADJ
ajfa-525	84	11	index	index	NOUN
ajfa-525	84	12	are	be	AUX
ajfa-525	84	13	gathered	gather	VERB
ajfa-525	84	14	for	for	ADP
ajfa-525	84	15	the	the	DET
ajfa-525	84	16	period	period	NOUN
ajfa-525	84	17	from	from	ADP
ajfa-525	84	18	1994	1994	NUM
ajfa-525	84	19	to	to	ADP
ajfa-525	84	20	2009	2009	NUM
ajfa-525	84	21	.	.	PUNCT
ajfa-525	85	1	normally	normally	ADV
ajfa-525	85	2	,	,	PUNCT
ajfa-525	85	3	stock	stock	NOUN
ajfa-525	85	4	exchange	exchange	NOUN
ajfa-525	85	5	of	of	ADP
ajfa-525	85	6	thailand	thailand	PROPN
ajfa-525	85	7	implements	implement	VERB
ajfa-525	85	8	the	the	DET
ajfa-525	85	9	same	same	ADJ
ajfa-525	85	10	holidays	holiday	NOUN
ajfa-525	85	11	as	as	SCONJ
ajfa-525	85	12	announced	announce	VERB
ajfa-525	85	13	by	by	ADP
ajfa-525	85	14	the	the	DET
ajfa-525	85	15	central	central	PROPN
ajfa-525	85	16	bank	bank	NOUN
ajfa-525	85	17	,	,	PUNCT
ajfa-525	85	18	bank	bank	PROPN
ajfa-525	85	19	of	of	ADP
ajfa-525	85	20	thailand	thailand	PROPN
ajfa-525	85	21	.	.	PUNCT
ajfa-525	86	1	the	the	DET
ajfa-525	86	2	common	common	ADJ
ajfa-525	86	3	holidays	holiday	NOUN
ajfa-525	86	4	for	for	ADP
ajfa-525	86	5	thai	thai	PROPN
ajfa-525	86	6	stock	stock	NOUN
ajfa-525	86	7	market	market	NOUN
ajfa-525	86	8	are	be	AUX
ajfa-525	86	9	:	:	PUNCT
ajfa-525	86	10	a	a	X
ajfa-525	86	11	)	)	PUNCT
ajfa-525	86	12	new	new	ADJ
ajfa-525	86	13	year	year	NOUN
ajfa-525	86	14	’s	’s	PART
ajfa-525	86	15	eve	eve	NOUN
ajfa-525	86	16	and	and	CCONJ
ajfa-525	86	17	new	new	ADJ
ajfa-525	86	18	year	year	NOUN
ajfa-525	86	19	’s	’s	PART
ajfa-525	86	20	day	day	NOUN
ajfa-525	86	21	b	b	X
ajfa-525	86	22	)	)	PUNCT
ajfa-525	86	23	makha	makha	NOUN
ajfa-525	87	1	bucha	bucha	NOUN
ajfa-525	87	2	day	day	NOUN
ajfa-525	87	3	c	c	NOUN
ajfa-525	87	4	)	)	PUNCT
ajfa-525	87	5	chakri	chakri	PROPN
ajfa-525	87	6	day	day	PROPN
ajfa-525	87	7	d	d	NOUN
ajfa-525	87	8	)	)	PUNCT
ajfa-525	87	9	songkran	songkran	PROPN
ajfa-525	87	10	festival	festival	PROPN
ajfa-525	87	11	e	e	PROPN
ajfa-525	87	12	)	)	PUNCT
ajfa-525	87	13	national	national	ADJ
ajfa-525	87	14	labor	labor	NOUN
ajfa-525	87	15	day	day	NOUN
ajfa-525	87	16	f	f	X
ajfa-525	87	17	)	)	PUNCT
ajfa-525	87	18	coronation	coronation	NOUN
ajfa-525	87	19	day	day	NOUN
ajfa-525	87	20	g	g	NOUN
ajfa-525	87	21	)	)	PUNCT
ajfa-525	87	22	visakha	visakha	ADJ
ajfa-525	87	23	bucha	bucha	NOUN
ajfa-525	87	24	day	day	PROPN
ajfa-525	87	25	h	h	NOUN
ajfa-525	87	26	)	)	PUNCT
ajfa-525	87	27	mid	mid	ADJ
ajfa-525	87	28	year	year	NOUN
ajfa-525	87	29	’s	’s	PART
ajfa-525	87	30	closing	closing	NOUN
ajfa-525	87	31	day	day	NOUN
ajfa-525	88	1	i	i	NOUN
ajfa-525	88	2	)	)	PUNCT
ajfa-525	88	3	asarnha	asarnha	VERB
ajfa-525	88	4	bucha	bucha	NOUN
ajfa-525	88	5	day	day	NOUN
ajfa-525	88	6	(	(	PUNCT
ajfa-525	88	7	in	in	ADP
ajfa-525	88	8	the	the	DET
ajfa-525	88	9	past	past	NOUN
ajfa-525	88	10	,	,	PUNCT
ajfa-525	88	11	the	the	DET
ajfa-525	88	12	holiday	holiday	NOUN
ajfa-525	88	13	is	be	AUX
ajfa-525	88	14	buddhist	buddhist	ADJ
ajfa-525	88	15	lent	lend	VERB
ajfa-525	88	16	day	day	NOUN
ajfa-525	88	17	)	)	PUNCT
ajfa-525	88	18	j	j	PROPN
ajfa-525	88	19	)	)	PUNCT
ajfa-525	88	20	h.m	h.m	PROPN
ajfa-525	88	21	.	.	PUNCT
ajfa-525	89	1	the	the	DET
ajfa-525	89	2	queen	queen	PROPN
ajfa-525	89	3	’s	’s	PART
ajfa-525	89	4	birthday	birthday	NOUN
ajfa-525	89	5	k	k	NOUN
ajfa-525	89	6	)	)	PUNCT
ajfa-525	89	7	chulalongkorn	chulalongkorn	ADJ
ajfa-525	89	8	day	day	NOUN
ajfa-525	89	9	l	l	NOUN
ajfa-525	89	10	)	)	PUNCT
ajfa-525	89	11	h.m	h.m	PROPN
ajfa-525	89	12	.	.	PUNCT
ajfa-525	90	1	the	the	DET
ajfa-525	90	2	king	king	NOUN
ajfa-525	90	3	’s	’s	PART
ajfa-525	90	4	birthday	birthday	PROPN
ajfa-525	90	5	m	m	PROPN
ajfa-525	90	6	)	)	PUNCT
ajfa-525	90	7	constitution	constitution	PROPN
ajfa-525	90	8	day	day	PROPN
ajfa-525	90	9	asian	asian	PROPN
ajfa-525	90	10	 	 	SPACE
ajfa-525	90	11	journal	journal	NOUN
ajfa-525	90	12	 	 	SPACE
ajfa-525	90	13	of	of	ADP
ajfa-525	90	14	 	 	SPACE
ajfa-525	90	15	finance	finance	NOUN
ajfa-525	90	16	 	 	SPACE
ajfa-525	90	17	&	&	CCONJ
ajfa-525	90	18	 	 	SPACE
ajfa-525	90	19	accounting	account	VERB
ajfa-525	90	20	  	  	SPACE
ajfa-525	90	21	issn	issn	PROPN
ajfa-525	90	22	 	 	SPACE
ajfa-525	90	23	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	90	24	  	  	SPACE
ajfa-525	90	25	2010	2010	NUM
ajfa-525	90	26	,	,	PUNCT
ajfa-525	90	27	 	 	SPACE
ajfa-525	90	28	vol	vol	NOUN
ajfa-525	90	29	.	.	PUNCT
ajfa-525	90	30	 	 	SPACE
ajfa-525	91	1	2	2	NUM
ajfa-525	91	2	,	,	PUNCT
ajfa-525	91	3	 	 	SPACE
ajfa-525	91	4	no	no	INTJ
ajfa-525	91	5	.	.	PUNCT
ajfa-525	91	6	 	 	SPACE
ajfa-525	92	1	2	2	NUM
ajfa-525	92	2	,	,	PUNCT
ajfa-525	92	3	   	   	SPACE
ajfa-525	92	4	x	x	NOUN
ajfa-525	92	5	:	:	PUNCT
ajfa-525	92	6	 	 	SPACE
ajfa-525	92	7	e3	e3	VERB
ajfa-525	92	8	      	      	SPACE
ajfa-525	92	9	45	45	NUM
ajfa-525	92	10	  	  	SPACE
ajfa-525	92	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	92	12	  	  	SPACE
ajfa-525	92	13	in	in	ADP
ajfa-525	92	14	some	some	DET
ajfa-525	92	15	years	year	NOUN
ajfa-525	92	16	there	there	PRON
ajfa-525	92	17	were	be	VERB
ajfa-525	92	18	special	special	ADJ
ajfa-525	92	19	holidays	holiday	NOUN
ajfa-525	92	20	besides	besides	SCONJ
ajfa-525	92	21	the	the	DET
ajfa-525	92	22	common	common	ADJ
ajfa-525	92	23	holidays	holiday	NOUN
ajfa-525	92	24	mentioned	mention	VERB
ajfa-525	92	25	above	above	ADV
ajfa-525	92	26	.	.	PUNCT
ajfa-525	93	1	the	the	DET
ajfa-525	93	2	stock	stock	NOUN
ajfa-525	93	3	return	return	NOUN
ajfa-525	93	4	is	be	AUX
ajfa-525	93	5	computed	compute	VERB
ajfa-525	93	6	as	as	ADP
ajfa-525	93	7	the	the	DET
ajfa-525	93	8	log	log	NOUN
ajfa-525	93	9	difference	difference	NOUN
ajfa-525	93	10	of	of	ADP
ajfa-525	93	11	daily	daily	ADJ
ajfa-525	93	12	stock	stock	NOUN
ajfa-525	93	13	prices	price	NOUN
ajfa-525	93	14	between	between	ADP
ajfa-525	93	15	two	two	NUM
ajfa-525	93	16	consecutive	consecutive	ADJ
ajfa-525	93	17	trading	trading	NOUN
ajfa-525	93	18	days	day	NOUN
ajfa-525	93	19	as	as	SCONJ
ajfa-525	93	20	follows	follow	VERB
ajfa-525	93	21	:	:	PUNCT
ajfa-525	93	22	𝑅	𝑅	NOUN
ajfa-525	93	23	!	!	PUNCT
ajfa-525	93	24	=	=	PRON
ajfa-525	93	25	𝑙𝑛	𝑙𝑛	NOUN
ajfa-525	93	26	!	!	PUNCT
ajfa-525	93	27	!	!	PUNCT
ajfa-525	93	28	!	!	PUNCT
ajfa-525	93	29	!	!	PUNCT
ajfa-525	93	30	!	!	PUNCT
ajfa-525	93	31	!	!	PUNCT
ajfa-525	94	1	(	(	PUNCT
ajfa-525	94	2	1	1	X
ajfa-525	94	3	)	)	PUNCT
ajfa-525	94	4	a	a	DET
ajfa-525	94	5	test	test	NOUN
ajfa-525	94	6	for	for	ADP
ajfa-525	94	7	stationarity	stationarity	NOUN
ajfa-525	94	8	is	be	AUX
ajfa-525	94	9	conducted	conduct	VERB
ajfa-525	94	10	on	on	ADP
ajfa-525	94	11	the	the	DET
ajfa-525	94	12	stock	stock	NOUN
ajfa-525	94	13	return	return	NOUN
ajfa-525	94	14	series	series	NOUN
ajfa-525	94	15	to	to	PART
ajfa-525	94	16	ensure	ensure	VERB
ajfa-525	94	17	the	the	DET
ajfa-525	94	18	stationarity	stationarity	NOUN
ajfa-525	94	19	property	property	NOUN
ajfa-525	94	20	because	because	SCONJ
ajfa-525	94	21	the	the	DET
ajfa-525	94	22	non	non	ADJ
ajfa-525	94	23	-	-	ADJ
ajfa-525	94	24	stationary	stationary	ADJ
ajfa-525	94	25	data	datum	NOUN
ajfa-525	94	26	leads	lead	VERB
ajfa-525	94	27	to	to	ADP
ajfa-525	94	28	spurious	spurious	ADJ
ajfa-525	94	29	regression	regression	NOUN
ajfa-525	94	30	problem	problem	NOUN
ajfa-525	94	31	.	.	PUNCT
ajfa-525	95	1	the	the	DET
ajfa-525	95	2	adf	adf	PROPN
ajfa-525	95	3	test	test	NOUN
ajfa-525	95	4	is	be	AUX
ajfa-525	95	5	conducted	conduct	VERB
ajfa-525	95	6	to	to	PART
ajfa-525	95	7	test	test	VERB
ajfa-525	95	8	the	the	DET
ajfa-525	95	9	null	null	ADJ
ajfa-525	95	10	hypothesis	hypothesis	NOUN
ajfa-525	95	11	that	that	PRON
ajfa-525	95	12	the	the	DET
ajfa-525	95	13	data	data	NOUN
ajfa-525	95	14	series	series	NOUN
ajfa-525	95	15	has	have	VERB
ajfa-525	95	16	unit	unit	NOUN
ajfa-525	95	17	root	root	NOUN
ajfa-525	95	18	problem	problem	NOUN
ajfa-525	95	19	.	.	PUNCT
ajfa-525	96	1	furthermore	furthermore	ADV
ajfa-525	96	2	,	,	PUNCT
ajfa-525	96	3	the	the	DET
ajfa-525	96	4	kpss	kpss	PROPN
ajfa-525	96	5	test	test	NOUN
ajfa-525	96	6	is	be	AUX
ajfa-525	96	7	performed	perform	VERB
ajfa-525	96	8	to	to	PART
ajfa-525	96	9	test	test	VERB
ajfa-525	96	10	the	the	DET
ajfa-525	96	11	null	null	ADJ
ajfa-525	96	12	hypothesis	hypothesis	NOUN
ajfa-525	96	13	that	that	PRON
ajfa-525	96	14	the	the	DET
ajfa-525	96	15	data	data	NOUN
ajfa-525	96	16	is	be	AUX
ajfa-525	96	17	stationary	stationary	ADJ
ajfa-525	96	18	in	in	ADP
ajfa-525	96	19	order	order	NOUN
ajfa-525	96	20	to	to	PART
ajfa-525	96	21	confirm	confirm	VERB
ajfa-525	96	22	with	with	ADP
ajfa-525	96	23	the	the	DET
ajfa-525	96	24	result	result	NOUN
ajfa-525	96	25	from	from	ADP
ajfa-525	96	26	adf	adf	PROPN
ajfa-525	96	27	test	test	NOUN
ajfa-525	96	28	to	to	PART
ajfa-525	96	29	ensure	ensure	VERB
ajfa-525	96	30	that	that	SCONJ
ajfa-525	96	31	the	the	DET
ajfa-525	96	32	data	datum	NOUN
ajfa-525	96	33	have	have	VERB
ajfa-525	96	34	no	no	DET
ajfa-525	96	35	unit	unit	NOUN
ajfa-525	96	36	root	root	NOUN
ajfa-525	96	37	and	and	CCONJ
ajfa-525	96	38	are	be	AUX
ajfa-525	96	39	stationary	stationary	ADJ
ajfa-525	96	40	.	.	PUNCT
ajfa-525	97	1	then	then	ADV
ajfa-525	97	2	the	the	DET
ajfa-525	97	3	following	follow	VERB
ajfa-525	97	4	regression	regression	NOUN
ajfa-525	97	5	equation	equation	NOUN
ajfa-525	97	6	is	be	AUX
ajfa-525	97	7	estimated	estimate	VERB
ajfa-525	97	8	to	to	PART
ajfa-525	97	9	test	test	VERB
ajfa-525	97	10	the	the	DET
ajfa-525	97	11	holiday	holiday	NOUN
ajfa-525	97	12	effect	effect	NOUN
ajfa-525	97	13	:	:	PUNCT
ajfa-525	98	1	𝑅	𝑅	NOUN
ajfa-525	98	2	!	!	PUNCT
ajfa-525	98	3	=	=	SYM
ajfa-525	98	4	𝛽	𝛽	NOUN
ajfa-525	98	5	!	!	PUNCT
ajfa-525	99	1	+	+	PUNCT
ajfa-525	99	2	𝛽!𝐷	𝛽!𝐷	NOUN
ajfa-525	99	3	!	!	PUNCT
ajfa-525	99	4	"	"	PUNCT
ajfa-525	99	5	#	#	NOUN
ajfa-525	99	6	+	+	NOUN
ajfa-525	99	7	𝜀	𝜀	PROPN
ajfa-525	99	8	!	!	PROPN
ajfa-525	99	9	(	(	PUNCT
ajfa-525	99	10	2	2	X
ajfa-525	99	11	)	)	PUNCT
ajfa-525	99	12	where	where	SCONJ
ajfa-525	99	13	rt	rt	PROPN
ajfa-525	99	14	is	be	AUX
ajfa-525	99	15	the	the	DET
ajfa-525	99	16	daily	daily	ADJ
ajfa-525	99	17	stock	stock	NOUN
ajfa-525	99	18	return	return	NOUN
ajfa-525	99	19	;	;	PUNCT
ajfa-525	99	20	dpre	dpre	NOUN
ajfa-525	99	21	is	be	AUX
ajfa-525	99	22	the	the	DET
ajfa-525	99	23	dummy	dummy	ADJ
ajfa-525	99	24	variable	variable	NOUN
ajfa-525	99	25	for	for	ADP
ajfa-525	99	26	pre	pre	ADJ
ajfa-525	99	27	-	-	NOUN
ajfa-525	99	28	holiday	holiday	NOUN
ajfa-525	99	29	;	;	PUNCT
ajfa-525	99	30	εt	εt	PROPN
ajfa-525	99	31	is	be	AUX
ajfa-525	99	32	a	a	DET
ajfa-525	99	33	white	white	ADJ
ajfa-525	99	34	noise	noise	NOUN
ajfa-525	99	35	error	error	NOUN
ajfa-525	99	36	term	term	NOUN
ajfa-525	99	37	.	.	PUNCT
ajfa-525	100	1	the	the	DET
ajfa-525	100	2	interpretation	interpretation	NOUN
ajfa-525	100	3	of	of	ADP
ajfa-525	100	4	the	the	DET
ajfa-525	100	5	above	above	ADJ
ajfa-525	100	6	regression	regression	NOUN
ajfa-525	100	7	is	be	AUX
ajfa-525	100	8	that	that	SCONJ
ajfa-525	100	9	β0	β0	PROPN
ajfa-525	100	10	is	be	AUX
ajfa-525	100	11	the	the	DET
ajfa-525	100	12	average	average	ADJ
ajfa-525	100	13	returns	return	NOUN
ajfa-525	100	14	of	of	ADP
ajfa-525	100	15	other	other	ADJ
ajfa-525	100	16	days	day	NOUN
ajfa-525	100	17	(	(	PUNCT
ajfa-525	100	18	non	non	ADJ
ajfa-525	100	19	-	-	ADJ
ajfa-525	100	20	preholiday	preholiday	NOUN
ajfa-525	100	21	)	)	PUNCT
ajfa-525	100	22	.	.	PUNCT
ajfa-525	101	1	the	the	DET
ajfa-525	101	2	coefficient	coefficient	NOUN
ajfa-525	101	3	β1	β1	PROPN
ajfa-525	101	4	will	will	AUX
ajfa-525	101	5	represent	represent	VERB
ajfa-525	101	6	the	the	DET
ajfa-525	101	7	difference	difference	NOUN
ajfa-525	101	8	between	between	ADP
ajfa-525	101	9	the	the	DET
ajfa-525	101	10	preholiday	preholiday	NOUN
ajfa-525	101	11	and	and	CCONJ
ajfa-525	101	12	non	non	ADJ
ajfa-525	101	13	-	-	ADJ
ajfa-525	101	14	preholiday	preholiday	ADJ
ajfa-525	101	15	returns	return	NOUN
ajfa-525	101	16	.	.	PUNCT
ajfa-525	102	1	in	in	ADP
ajfa-525	102	2	order	order	NOUN
ajfa-525	102	3	to	to	PART
ajfa-525	102	4	model	model	VERB
ajfa-525	102	5	the	the	DET
ajfa-525	102	6	volatility	volatility	NOUN
ajfa-525	102	7	stock	stock	NOUN
ajfa-525	102	8	returns	return	VERB
ajfa-525	102	9	the	the	DET
ajfa-525	102	10	garch(1,1	garch(1,1	NOUN
ajfa-525	102	11	)	)	PUNCT
ajfa-525	102	12	,	,	PUNCT
ajfa-525	102	13	egarch(1,1	egarch(1,1	ADJ
ajfa-525	102	14	)	)	PUNCT
ajfa-525	102	15	and	and	CCONJ
ajfa-525	102	16	garch(1,1)-m	garch(1,1)-m	NOUN
ajfa-525	102	17	models	model	NOUN
ajfa-525	102	18	are	be	AUX
ajfa-525	102	19	employed	employ	VERB
ajfa-525	102	20	.	.	PUNCT
ajfa-525	103	1	as	as	ADP
ajfa-525	103	2	in	in	ADP
ajfa-525	103	3	the	the	DET
ajfa-525	103	4	model	model	NOUN
ajfa-525	103	5	employed	employ	VERB
ajfa-525	103	6	by	by	ADP
ajfa-525	103	7	kiymaz	kiymaz	NOUN
ajfa-525	103	8	and	and	CCONJ
ajfa-525	103	9	berument	berument	ADJ
ajfa-525	103	10	(	(	PUNCT
ajfa-525	103	11	2003	2003	NUM
ajfa-525	103	12	)	)	PUNCT
ajfa-525	103	13	the	the	DET
ajfa-525	103	14	lag	lag	NOUN
ajfa-525	103	15	of	of	ADP
ajfa-525	103	16	stock	stock	NOUN
ajfa-525	103	17	returns	return	NOUN
ajfa-525	103	18	is	be	AUX
ajfa-525	103	19	included	include	VERB
ajfa-525	103	20	in	in	ADP
ajfa-525	103	21	mean	mean	ADJ
ajfa-525	103	22	equation	equation	NOUN
ajfa-525	103	23	to	to	PART
ajfa-525	103	24	avoid	avoid	VERB
ajfa-525	103	25	the	the	DET
ajfa-525	103	26	serial	serial	ADJ
ajfa-525	103	27	correlation	correlation	NOUN
ajfa-525	103	28	problems	problem	NOUN
ajfa-525	103	29	.	.	PUNCT
ajfa-525	104	1	the	the	DET
ajfa-525	104	2	mean	mean	ADJ
ajfa-525	104	3	equation	equation	NOUN
ajfa-525	104	4	for	for	ADP
ajfa-525	104	5	both	both	DET
ajfa-525	104	6	garch(1,1	garch(1,1	NOUN
ajfa-525	104	7	)	)	PUNCT
ajfa-525	104	8	and	and	CCONJ
ajfa-525	104	9	egarch(1,1	egarch(1,1	ADJ
ajfa-525	104	10	)	)	PUNCT
ajfa-525	104	11	after	after	ADP
ajfa-525	104	12	the	the	DET
ajfa-525	104	13	above	above	ADJ
ajfa-525	104	14	modification	modification	NOUN
ajfa-525	104	15	would	would	AUX
ajfa-525	104	16	be	be	AUX
ajfa-525	104	17	:	:	PUNCT
ajfa-525	104	18	r	r	X
ajfa-525	104	19	!	!	PUNCT
ajfa-525	104	20	=	=	PUNCT
ajfa-525	105	1	β	β	X
ajfa-525	105	2	!	!	PUNCT
ajfa-525	106	1	+	+	PUNCT
ajfa-525	106	2	β!d	β!d	NOUN
ajfa-525	106	3	!	!	PUNCT
ajfa-525	106	4	"	"	PUNCT
ajfa-525	106	5	#	#	NOUN
ajfa-525	106	6	+	+	X
ajfa-525	106	7	β!r!-­‐	β!r!-­‐	NOUN
ajfa-525	106	8	!	!	PUNCT
ajfa-525	107	1	+	+	CCONJ
ajfa-525	107	2	ε	ε	AUX
ajfa-525	107	3	!	!	PUNCT
ajfa-525	107	4	(	(	PUNCT
ajfa-525	107	5	3	3	X
ajfa-525	107	6	)	)	PUNCT
ajfa-525	107	7	the	the	DET
ajfa-525	107	8	modified	modify	VERB
ajfa-525	107	9	variance	variance	NOUN
ajfa-525	107	10	equation	equation	NOUN
ajfa-525	107	11	of	of	ADP
ajfa-525	107	12	garch(1,1	garch(1,1	NOUN
ajfa-525	107	13	)	)	PUNCT
ajfa-525	107	14	would	would	AUX
ajfa-525	107	15	be	be	AUX
ajfa-525	107	16	:	:	PUNCT
ajfa-525	107	17	ℎ	ℎ	X
ajfa-525	107	18	!	!	PUNCT
ajfa-525	107	19	=	=	PUNCT
ajfa-525	108	1	𝜔	𝜔	PROPN
ajfa-525	108	2	+	+	NUM
ajfa-525	108	3	𝛼𝜀	𝛼𝜀	NOUN
ajfa-525	108	4	!	!	PUNCT
ajfa-525	108	5	!	!	PUNCT
ajfa-525	108	6	!	!	PUNCT
ajfa-525	108	7	!	!	PUNCT
ajfa-525	109	1	+	+	PUNCT
ajfa-525	109	2	𝛽ℎ	𝛽ℎ	ADJ
ajfa-525	109	3	!	!	PUNCT
ajfa-525	109	4	!	!	PUNCT
ajfa-525	109	5	!	!	PUNCT
ajfa-525	110	1	+	+	CCONJ
ajfa-525	111	1	𝛿!𝐷	𝛿!𝐷	NOUN
ajfa-525	111	2	!	!	PUNCT
ajfa-525	111	3	"	"	PUNCT
ajfa-525	111	4	#	#	NOUN
ajfa-525	111	5	(	(	PUNCT
ajfa-525	111	6	4	4	NUM
ajfa-525	111	7	)	)	PUNCT
ajfa-525	111	8	the	the	DET
ajfa-525	111	9	modified	modify	VERB
ajfa-525	111	10	variance	variance	NOUN
ajfa-525	111	11	equation	equation	NOUN
ajfa-525	111	12	of	of	ADP
ajfa-525	111	13	egarch(1,1	egarch(1,1	NOUN
ajfa-525	111	14	)	)	PUNCT
ajfa-525	111	15	would	would	AUX
ajfa-525	111	16	be	be	AUX
ajfa-525	111	17	:	:	PUNCT
ajfa-525	111	18	log	log	VERB
ajfa-525	111	19	 	 	SPACE
ajfa-525	111	20	(	(	PUNCT
ajfa-525	111	21	h	h	NOUN
ajfa-525	111	22	!	!	PUNCT
ajfa-525	111	23	)	)	PUNCT
ajfa-525	112	1	=	=	NOUN
ajfa-525	112	2	ω+	ω+	NUM
ajfa-525	112	3	α	α	NOUN
ajfa-525	112	4	!	!	PUNCT
ajfa-525	112	5	!	!	PUNCT
ajfa-525	112	6	-­‐	-­‐	PROPN
ajfa-525	112	7	!	!	PUNCT
ajfa-525	112	8	!	!	PUNCT
ajfa-525	112	9	!	!	PUNCT
ajfa-525	113	1	-­‐	-­‐	PROPN
ajfa-525	113	2	!	!	PUNCT
ajfa-525	114	1	+	+	CCONJ
ajfa-525	114	2	γ	γ	X
ajfa-525	114	3	!	!	PUNCT
ajfa-525	114	4	!	!	PUNCT
ajfa-525	114	5	-­‐	-­‐	PROPN
ajfa-525	114	6	!	!	PUNCT
ajfa-525	114	7	!	!	PUNCT
ajfa-525	114	8	!	!	PUNCT
ajfa-525	114	9	-­‐	-­‐	PROPN
ajfa-525	114	10	!	!	PUNCT
ajfa-525	115	1	+	+	CCONJ
ajfa-525	115	2	β	β	X
ajfa-525	115	3	log	log	NOUN
ajfa-525	115	4	h!-­‐	h!-­‐	NOUN
ajfa-525	115	5	!	!	PUNCT
ajfa-525	116	1	+	+	CCONJ
ajfa-525	116	2	δ!d	δ!d	PROPN
ajfa-525	116	3	!	!	PROPN
ajfa-525	116	4	(	(	PUNCT
ajfa-525	116	5	5	5	X
ajfa-525	116	6	)	)	PUNCT
ajfa-525	116	7	the	the	DET
ajfa-525	116	8	variance	variance	NOUN
ajfa-525	116	9	equation	equation	NOUN
ajfa-525	116	10	of	of	ADP
ajfa-525	116	11	garch(1,1)-m	garch(1,1)-m	PROPN
ajfa-525	116	12	is	be	AUX
ajfa-525	116	13	similar	similar	ADJ
ajfa-525	116	14	to	to	PART
ajfa-525	116	15	garch(1,1	garch(1,1	VERB
ajfa-525	116	16	)	)	PUNCT
ajfa-525	117	1	but	but	CCONJ
ajfa-525	117	2	the	the	DET
ajfa-525	117	3	volatility	volatility	NOUN
ajfa-525	117	4	measured	measure	VERB
ajfa-525	117	5	in	in	ADP
ajfa-525	117	6	the	the	DET
ajfa-525	117	7	variance	variance	NOUN
ajfa-525	117	8	equation	equation	NOUN
ajfa-525	117	9	is	be	AUX
ajfa-525	117	10	included	include	VERB
ajfa-525	117	11	in	in	ADP
ajfa-525	117	12	mean	mean	ADJ
ajfa-525	117	13	equation	equation	NOUN
ajfa-525	117	14	in	in	ADP
ajfa-525	117	15	the	the	DET
ajfa-525	117	16	form	form	NOUN
ajfa-525	117	17	of	of	ADP
ajfa-525	117	18	square	square	ADJ
ajfa-525	117	19	root	root	NOUN
ajfa-525	117	20	of	of	ADP
ajfa-525	117	21	variance	variance	NOUN
ajfa-525	117	22	.	.	PUNCT
ajfa-525	118	1	the	the	DET
ajfa-525	118	2	mean	mean	ADJ
ajfa-525	118	3	equation	equation	NOUN
ajfa-525	118	4	of	of	ADP
ajfa-525	118	5	garch(1,1)-m	garch(1,1)-m	PROPN
ajfa-525	118	6	would	would	AUX
ajfa-525	118	7	be	be	AUX
ajfa-525	118	8	:	:	PUNCT
ajfa-525	118	9	r	r	X
ajfa-525	118	10	!	!	PUNCT
ajfa-525	118	11	=	=	PUNCT
ajfa-525	119	1	β	β	X
ajfa-525	119	2	!	!	PUNCT
ajfa-525	120	1	+	+	PUNCT
ajfa-525	120	2	β!d	β!d	NOUN
ajfa-525	120	3	!	!	PUNCT
ajfa-525	120	4	"	"	PUNCT
ajfa-525	120	5	#	#	NOUN
ajfa-525	120	6	+	+	X
ajfa-525	120	7	β!r!-­‐	β!r!-­‐	NOUN
ajfa-525	120	8	!	!	PUNCT
ajfa-525	121	1	+	+	CCONJ
ajfa-525	121	2	β	β	X
ajfa-525	121	3	!	!	PUNCT
ajfa-525	121	4	h	h	NOUN
ajfa-525	121	5	!	!	PUNCT
ajfa-525	122	1	+	+	CCONJ
ajfa-525	122	2	ε	ε	AUX
ajfa-525	122	3	!	!	PUNCT
ajfa-525	122	4	(	(	PUNCT
ajfa-525	122	5	6	6	NUM
ajfa-525	122	6	)	)	PUNCT
ajfa-525	122	7	moreover	moreover	ADV
ajfa-525	122	8	the	the	DET
ajfa-525	122	9	assumption	assumption	NOUN
ajfa-525	122	10	of	of	ADP
ajfa-525	122	11	gaussian	gaussian	ADJ
ajfa-525	122	12	distribution	distribution	NOUN
ajfa-525	122	13	for	for	ADP
ajfa-525	122	14	the	the	DET
ajfa-525	122	15	errors	error	NOUN
ajfa-525	122	16	may	may	AUX
ajfa-525	122	17	not	not	PART
ajfa-525	122	18	be	be	AUX
ajfa-525	122	19	appropriate	appropriate	ADJ
ajfa-525	122	20	for	for	ADP
ajfa-525	122	21	garch	garch	NOUN
ajfa-525	122	22	model	model	NOUN
ajfa-525	122	23	.	.	PUNCT
ajfa-525	123	1	hence	hence	ADV
ajfa-525	123	2	,	,	PUNCT
ajfa-525	123	3	the	the	DET
ajfa-525	123	4	generalized	generalize	VERB
ajfa-525	123	5	error	error	NOUN
ajfa-525	123	6	distribution	distribution	NOUN
ajfa-525	123	7	introduced	introduce	VERB
ajfa-525	123	8	by	by	ADP
ajfa-525	123	9	box	box	NOUN
ajfa-525	123	10	and	and	CCONJ
ajfa-525	123	11	tiao	tiao	PROPN
ajfa-525	123	12	(	(	PUNCT
ajfa-525	123	13	1973	1973	NUM
ajfa-525	123	14	)	)	PUNCT
ajfa-525	123	15	has	have	AUX
ajfa-525	123	16	been	be	AUX
ajfa-525	123	17	used	use	VERB
ajfa-525	123	18	in	in	ADP
ajfa-525	123	19	research	research	NOUN
ajfa-525	123	20	papers	paper	NOUN
ajfa-525	123	21	that	that	PRON
ajfa-525	123	22	employed	employ	VERB
ajfa-525	123	23	the	the	DET
ajfa-525	123	24	garch	garch	NOUN
ajfa-525	123	25	model	model	NOUN
ajfa-525	123	26	.	.	PUNCT
ajfa-525	124	1	consistent	consistent	ADJ
ajfa-525	124	2	with	with	ADP
ajfa-525	124	3	this	this	DET
ajfa-525	124	4	practice	practice	NOUN
ajfa-525	124	5	this	this	DET
ajfa-525	124	6	paper	paper	NOUN
ajfa-525	124	7	also	also	ADV
ajfa-525	124	8	employes	employ	VERB
ajfa-525	124	9	the	the	DET
ajfa-525	124	10	garch	garch	NOUN
ajfa-525	124	11	model	model	NOUN
ajfa-525	124	12	with	with	ADP
ajfa-525	124	13	the	the	DET
ajfa-525	124	14	generalized	generalize	VERB
ajfa-525	124	15	error	error	NOUN
ajfa-525	124	16	distribution	distribution	NOUN
ajfa-525	124	17	.	.	PUNCT
ajfa-525	125	1	asian	asian	ADJ
ajfa-525	125	2	 	 	SPACE
ajfa-525	125	3	journal	journal	NOUN
ajfa-525	125	4	 	 	SPACE
ajfa-525	125	5	of	of	ADP
ajfa-525	125	6	 	 	SPACE
ajfa-525	125	7	finance	finance	NOUN
ajfa-525	125	8	 	 	SPACE
ajfa-525	125	9	&	&	CCONJ
ajfa-525	125	10	 	 	SPACE
ajfa-525	125	11	accounting	account	VERB
ajfa-525	125	12	  	  	SPACE
ajfa-525	125	13	issn	issn	PROPN
ajfa-525	125	14	 	 	SPACE
ajfa-525	125	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	125	16	  	  	SPACE
ajfa-525	125	17	2010	2010	NUM
ajfa-525	125	18	,	,	PUNCT
ajfa-525	125	19	 	 	SPACE
ajfa-525	125	20	vol	vol	NOUN
ajfa-525	125	21	.	.	PUNCT
ajfa-525	125	22	 	 	SPACE
ajfa-525	125	23	2	2	NUM
ajfa-525	125	24	,	,	PUNCT
ajfa-525	125	25	 	 	SPACE
ajfa-525	125	26	no	no	INTJ
ajfa-525	125	27	.	.	PUNCT
ajfa-525	125	28	 	 	SPACE
ajfa-525	125	29	2	2	NUM
ajfa-525	125	30	,	,	PUNCT
ajfa-525	125	31	   	   	SPACE
ajfa-525	125	32	x	x	NOUN
ajfa-525	125	33	:	:	PUNCT
ajfa-525	125	34	 	 	SPACE
ajfa-525	125	35	e3	e3	VERB
ajfa-525	125	36	      	      	SPACE
ajfa-525	125	37	46	46	NUM
ajfa-525	125	38	  	  	SPACE
ajfa-525	125	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	125	40	  	  	SPACE
ajfa-525	125	41	furthermore	furthermore	ADV
ajfa-525	125	42	,	,	PUNCT
ajfa-525	125	43	the	the	DET
ajfa-525	125	44	paper	paper	NOUN
ajfa-525	125	45	examines	examine	VERB
ajfa-525	125	46	whether	whether	SCONJ
ajfa-525	125	47	the	the	DET
ajfa-525	125	48	number	number	NOUN
ajfa-525	125	49	of	of	ADP
ajfa-525	125	50	days	day	NOUN
ajfa-525	125	51	in	in	ADP
ajfa-525	125	52	each	each	DET
ajfa-525	125	53	holiday	holiday	NOUN
ajfa-525	125	54	has	have	VERB
ajfa-525	125	55	an	an	DET
ajfa-525	125	56	effect	effect	NOUN
ajfa-525	125	57	on	on	ADP
ajfa-525	125	58	the	the	DET
ajfa-525	125	59	preholiday	preholiday	NOUN
ajfa-525	125	60	returns	return	NOUN
ajfa-525	125	61	.	.	PUNCT
ajfa-525	126	1	the	the	DET
ajfa-525	126	2	regression	regression	NOUN
ajfa-525	126	3	model	model	NOUN
ajfa-525	126	4	employed	employ	VERB
ajfa-525	126	5	is	be	AUX
ajfa-525	126	6	as	as	SCONJ
ajfa-525	126	7	follows	follow	VERB
ajfa-525	126	8	:	:	PUNCT
ajfa-525	127	1	𝑅	𝑅	NOUN
ajfa-525	127	2	!	!	PUNCT
ajfa-525	127	3	=	=	SYM
ajfa-525	127	4	𝛽	𝛽	NOUN
ajfa-525	127	5	!	!	PUNCT
ajfa-525	128	1	+	+	PUNCT
ajfa-525	128	2	𝛽!𝐷	𝛽!𝐷	NOUN
ajfa-525	128	3	!	!	PUNCT
ajfa-525	129	1	+	+	PUNCT
ajfa-525	129	2	𝛽!𝐷	𝛽!𝐷	VERB
ajfa-525	129	3	!	!	PUNCT
ajfa-525	130	1	+	+	PUNCT
ajfa-525	130	2	𝛽!𝐷	𝛽!𝐷	VERB
ajfa-525	130	3	!	!	PUNCT
ajfa-525	131	1	+	+	NUM
ajfa-525	131	2	𝜀	𝜀	X
ajfa-525	131	3	!	!	PROPN
ajfa-525	131	4	(	(	PUNCT
ajfa-525	131	5	7	7	X
ajfa-525	131	6	)	)	PUNCT
ajfa-525	131	7	where	where	SCONJ
ajfa-525	131	8	rt	rt	PROPN
ajfa-525	131	9	is	be	AUX
ajfa-525	131	10	the	the	DET
ajfa-525	131	11	daily	daily	ADJ
ajfa-525	131	12	stock	stock	NOUN
ajfa-525	131	13	return	return	NOUN
ajfa-525	131	14	;	;	PUNCT
ajfa-525	131	15	,	,	PUNCT
ajfa-525	131	16	d1	d1	PROPN
ajfa-525	131	17	is	be	AUX
ajfa-525	131	18	the	the	DET
ajfa-525	131	19	dummy	dummy	ADJ
ajfa-525	131	20	variable	variable	NOUN
ajfa-525	131	21	for	for	ADP
ajfa-525	131	22	pre	pre	ADJ
ajfa-525	131	23	-	-	NOUN
ajfa-525	131	24	holiday	holiday	NOUN
ajfa-525	131	25	with	with	ADP
ajfa-525	131	26	consisting	consist	VERB
ajfa-525	131	27	of	of	ADP
ajfa-525	131	28	oneday	oneday	PROPN
ajfa-525	131	29	holiday	holiday	NOUN
ajfa-525	131	30	period	period	NOUN
ajfa-525	131	31	or	or	CCONJ
ajfa-525	131	32	twodays	twoday	NOUN
ajfa-525	131	33	holiday	holiday	NOUN
ajfa-525	131	34	period	period	NOUN
ajfa-525	131	35	;	;	PUNCT
ajfa-525	131	36	d2	d2	PROPN
ajfa-525	131	37	is	be	AUX
ajfa-525	131	38	the	the	DET
ajfa-525	131	39	a	a	DET
ajfa-525	131	40	dummy	dummy	ADJ
ajfa-525	131	41	variable	variable	NOUN
ajfa-525	131	42	for	for	ADP
ajfa-525	131	43	pre	pre	ADJ
ajfa-525	131	44	-	-	NOUN
ajfa-525	131	45	holiday	holiday	NOUN
ajfa-525	131	46	with	with	ADP
ajfa-525	131	47	consisting	consist	VERB
ajfa-525	131	48	of	of	ADP
ajfa-525	131	49	threedays	threeday	NOUN
ajfa-525	131	50	holiday	holiday	NOUN
ajfa-525	131	51	period	period	NOUN
ajfa-525	131	52	;	;	PUNCT
ajfa-525	131	53	d3	d3	PROPN
ajfa-525	131	54	is	be	AUX
ajfa-525	131	55	the	the	DET
ajfa-525	131	56	dummy	dummy	ADJ
ajfa-525	131	57	variable	variable	NOUN
ajfa-525	131	58	for	for	ADP
ajfa-525	131	59	pre	pre	ADJ
ajfa-525	131	60	-	-	ADJ
ajfa-525	131	61	holiday	holiday	NOUN
ajfa-525	131	62	before	before	ADP
ajfa-525	131	63	holiday	holiday	NOUN
ajfa-525	131	64	periodconsisting	periodconsisting	NOUN
ajfa-525	131	65	of	of	ADP
ajfa-525	131	66	more	more	ADJ
ajfa-525	131	67	than	than	ADP
ajfa-525	131	68	three	three	NUM
ajfa-525	131	69	days	day	NOUN
ajfa-525	131	70	.	.	PUNCT
ajfa-525	132	1	for	for	ADP
ajfa-525	132	2	volatility	volatility	NOUN
ajfa-525	132	3	measurement	measurement	NOUN
ajfa-525	132	4	equation	equation	NOUN
ajfa-525	132	5	6	6	NUM
ajfa-525	132	6	is	be	AUX
ajfa-525	132	7	modified	modify	VERB
ajfa-525	132	8	by	by	ADP
ajfa-525	132	9	adding	add	VERB
ajfa-525	132	10	the	the	DET
ajfa-525	132	11	lagged	lag	VERB
ajfa-525	132	12	stock	stock	NOUN
ajfa-525	132	13	returns	return	NOUN
ajfa-525	132	14	and	and	CCONJ
ajfa-525	132	15	this	this	DET
ajfa-525	132	16	equation	equation	NOUN
ajfa-525	132	17	is	be	AUX
ajfa-525	132	18	known	know	VERB
ajfa-525	132	19	as	as	ADP
ajfa-525	132	20	mean	mean	ADJ
ajfa-525	132	21	equation	equation	NOUN
ajfa-525	132	22	in	in	ADP
ajfa-525	132	23	both	both	PRON
ajfa-525	132	24	garch	garch	NOUN
ajfa-525	132	25	and	and	CCONJ
ajfa-525	132	26	egarch	egarch	NOUN
ajfa-525	132	27	models	model	NOUN
ajfa-525	132	28	.	.	PUNCT
ajfa-525	133	1	for	for	ADP
ajfa-525	133	2	garch	garch	NOUN
ajfa-525	133	3	-	-	PUNCT
ajfa-525	133	4	m	m	NOUN
ajfa-525	133	5	model	model	NOUN
ajfa-525	133	6	the	the	DET
ajfa-525	133	7	standard	standard	ADJ
ajfa-525	133	8	deviation	deviation	NOUN
ajfa-525	133	9	measured	measure	VERB
ajfa-525	133	10	by	by	ADP
ajfa-525	133	11	square	square	ADJ
ajfa-525	133	12	root	root	NOUN
ajfa-525	133	13	of	of	ADP
ajfa-525	133	14	conditional	conditional	ADJ
ajfa-525	133	15	variance	variance	NOUN
ajfa-525	133	16	is	be	AUX
ajfa-525	133	17	added	add	VERB
ajfa-525	133	18	to	to	PART
ajfa-525	133	19	mean	mean	VERB
ajfa-525	133	20	equation	equation	NOUN
ajfa-525	133	21	.	.	PUNCT
ajfa-525	134	1	the	the	DET
ajfa-525	134	2	variance	variance	NOUN
ajfa-525	134	3	equation	equation	NOUN
ajfa-525	134	4	would	would	AUX
ajfa-525	134	5	follow	follow	VERB
ajfa-525	134	6	equations	equation	NOUN
ajfa-525	134	7	4	4	NUM
ajfa-525	134	8	and	and	CCONJ
ajfa-525	134	9	5	5	NUM
ajfa-525	134	10	but	but	CCONJ
ajfa-525	134	11	replace	replace	VERB
ajfa-525	134	12	the	the	DET
ajfa-525	134	13	dummy	dummy	ADJ
ajfa-525	134	14	variables	variable	NOUN
ajfa-525	134	15	with	with	ADP
ajfa-525	134	16	dummy	dummy	ADJ
ajfa-525	134	17	variables	variable	NOUN
ajfa-525	134	18	from	from	ADP
ajfa-525	134	19	equation	equation	NOUN
ajfa-525	134	20	7	7	NUM
ajfa-525	134	21	.	.	PUNCT
ajfa-525	135	1	finally	finally	ADV
ajfa-525	135	2	,	,	PUNCT
ajfa-525	135	3	the	the	DET
ajfa-525	135	4	distinction	distinction	NOUN
ajfa-525	135	5	whether	whether	SCONJ
ajfa-525	135	6	state	state	NOUN
ajfa-525	135	7	holidays	holiday	NOUN
ajfa-525	135	8	and/or	and/or	CCONJ
ajfa-525	135	9	cultural	cultural	ADJ
ajfa-525	135	10	holidays	holiday	NOUN
ajfa-525	135	11	can	can	AUX
ajfa-525	135	12	affect	affect	VERB
ajfa-525	135	13	the	the	DET
ajfa-525	135	14	preholiday	preholiday	NOUN
ajfa-525	135	15	returns	return	NOUN
ajfa-525	135	16	is	be	AUX
ajfa-525	135	17	examined	examine	VERB
ajfa-525	135	18	.	.	PUNCT
ajfa-525	136	1	cultural	cultural	ADJ
ajfa-525	136	2	holidays	holiday	NOUN
ajfa-525	136	3	based	base	VERB
ajfa-525	136	4	on	on	ADP
ajfa-525	136	5	the	the	DET
ajfa-525	136	6	definition	definition	NOUN
ajfa-525	136	7	by	by	ADP
ajfa-525	136	8	chan	chan	PROPN
ajfa-525	136	9	,	,	PUNCT
ajfa-525	136	10	khanthavit	khanthavit	PROPN
ajfa-525	136	11	,	,	PUNCT
ajfa-525	136	12	and	and	CCONJ
ajfa-525	136	13	thomas	thomas	PROPN
ajfa-525	136	14	(	(	PUNCT
ajfa-525	136	15	1996	1996	NUM
ajfa-525	136	16	)	)	PUNCT
ajfa-525	136	17	are	be	AUX
ajfa-525	136	18	songkran	songkran	NOUN
ajfa-525	136	19	days	day	NOUN
ajfa-525	136	20	and	and	CCONJ
ajfa-525	136	21	buddhist	buddhist	ADJ
ajfa-525	136	22	holidays	holiday	NOUN
ajfa-525	136	23	like	like	ADP
ajfa-525	136	24	macha	macha	PROPN
ajfa-525	136	25	bucha	bucha	PROPN
ajfa-525	136	26	,	,	PUNCT
ajfa-525	136	27	visakha	visakha	ADJ
ajfa-525	136	28	bucha	bucha	NOUN
ajfa-525	136	29	,	,	PUNCT
ajfa-525	136	30	asarnha	asarnha	VERB
ajfa-525	136	31	bucha	bucha	NOUN
ajfa-525	136	32	,	,	PUNCT
ajfa-525	136	33	and	and	CCONJ
ajfa-525	136	34	the	the	DET
ajfa-525	136	35	buddhist	buddhist	ADJ
ajfa-525	136	36	lent	lend	VERB
ajfa-525	136	37	day	day	NOUN
ajfa-525	136	38	.	.	PUNCT
ajfa-525	137	1	other	other	ADJ
ajfa-525	137	2	holidays	holiday	NOUN
ajfa-525	137	3	are	be	AUX
ajfa-525	137	4	classified	classify	VERB
ajfa-525	137	5	as	as	ADP
ajfa-525	137	6	state	state	NOUN
ajfa-525	137	7	holidays	holiday	NOUN
ajfa-525	137	8	.	.	PUNCT
ajfa-525	138	1	the	the	DET
ajfa-525	138	2	regression	regression	NOUN
ajfa-525	138	3	equation	equation	NOUN
ajfa-525	138	4	estimated	estimate	VERB
ajfa-525	138	5	is	be	AUX
ajfa-525	138	6	as	as	SCONJ
ajfa-525	138	7	follows	follow	VERB
ajfa-525	138	8	:	:	PUNCT
ajfa-525	138	9	r	r	X
ajfa-525	138	10	!	!	PUNCT
ajfa-525	138	11	=	=	PUNCT
ajfa-525	139	1	β	β	X
ajfa-525	139	2	!	!	PUNCT
ajfa-525	140	1	+	+	CCONJ
ajfa-525	140	2	β!d!"#"$	β!d!"#"$	NOUN
ajfa-525	140	3	+	+	CCONJ
ajfa-525	140	4	β!d!"#$"%	β!d!"#$"%	PUNCT
ajfa-525	140	5	&	&	CCONJ
ajfa-525	140	6	+	+	NUM
ajfa-525	140	7	r!-­‐	r!-­‐	NOUN
ajfa-525	140	8	!	!	PUNCT
ajfa-525	141	1	+	+	CCONJ
ajfa-525	141	2	ε	ε	PROPN
ajfa-525	141	3	!	!	PUNCT
ajfa-525	141	4	(	(	PUNCT
ajfa-525	141	5	8)	8)	NUM
ajfa-525	141	6	where	where	SCONJ
ajfa-525	141	7	rt	rt	PROPN
ajfa-525	141	8	is	be	AUX
ajfa-525	141	9	the	the	DET
ajfa-525	141	10	daily	daily	ADJ
ajfa-525	141	11	stock	stock	NOUN
ajfa-525	141	12	returns	return	NOUN
ajfa-525	141	13	;	;	PUNCT
ajfa-525	141	14	d1	d1	PROPN
ajfa-525	141	15	is	be	AUX
ajfa-525	141	16	the	the	DET
ajfa-525	141	17	dummy	dummy	ADJ
ajfa-525	141	18	variable	variable	NOUN
ajfa-525	141	19	of	of	ADP
ajfa-525	141	20	preholiday	preholiday	NOUN
ajfa-525	141	21	for	for	ADP
ajfa-525	141	22	cultural	cultural	ADJ
ajfa-525	141	23	holidays	holiday	NOUN
ajfa-525	141	24	;	;	PUNCT
ajfa-525	141	25	d2	d2	PROPN
ajfa-525	141	26	is	be	AUX
ajfa-525	141	27	the	the	DET
ajfa-525	141	28	dummy	dummy	ADJ
ajfa-525	141	29	variable	variable	NOUN
ajfa-525	141	30	for	for	ADP
ajfa-525	141	31	preholiday	preholiday	NOUN
ajfa-525	141	32	for	for	ADP
ajfa-525	141	33	state	state	NOUN
ajfa-525	141	34	holidays	holiday	NOUN
ajfa-525	141	35	.	.	PUNCT
ajfa-525	142	1	for	for	ADP
ajfa-525	142	2	volatility	volatility	NOUN
ajfa-525	142	3	measurement	measurement	NOUN
ajfa-525	142	4	,	,	PUNCT
ajfa-525	142	5	the	the	DET
ajfa-525	142	6	dummy	dummy	ADJ
ajfa-525	142	7	variables	variable	NOUN
ajfa-525	142	8	in	in	ADP
ajfa-525	142	9	mean	mean	ADJ
ajfa-525	142	10	equation	equation	NOUN
ajfa-525	142	11	and	and	CCONJ
ajfa-525	142	12	variance	variance	NOUN
ajfa-525	142	13	equation	equation	NOUN
ajfa-525	142	14	would	would	AUX
ajfa-525	142	15	be	be	AUX
ajfa-525	142	16	replaced	replace	VERB
ajfa-525	142	17	by	by	ADP
ajfa-525	142	18	dummy	dummy	ADJ
ajfa-525	142	19	variables	variable	NOUN
ajfa-525	142	20	from	from	ADP
ajfa-525	142	21	equation	equation	NOUN
ajfa-525	142	22	8	8	NUM
ajfa-525	142	23	.	.	NOUN
ajfa-525	143	1	4	4	NUM
ajfa-525	143	2	.	.	X
ajfa-525	144	1	analysis	analysis	NOUN
ajfa-525	144	2	and	and	CCONJ
ajfa-525	144	3	result	result	NOUN
ajfa-525	144	4	table	table	NOUN
ajfa-525	144	5	1	1	NUM
ajfa-525	144	6	reports	report	NOUN
ajfa-525	144	7	frequencies	frequency	NOUN
ajfa-525	144	8	for	for	ADP
ajfa-525	144	9	for	for	ADP
ajfa-525	144	10	holidays	holiday	NOUN
ajfa-525	144	11	consisting	consist	VERB
ajfa-525	144	12	of	of	ADP
ajfa-525	144	13	one	one	NUM
ajfa-525	144	14	to	to	PART
ajfa-525	144	15	five	five	NUM
ajfa-525	144	16	days	day	NOUN
ajfa-525	144	17	.	.	PUNCT
ajfa-525	145	1	from	from	ADP
ajfa-525	145	2	the	the	DET
ajfa-525	145	3	stock	stock	NOUN
ajfa-525	145	4	exchange	exchange	NOUN
ajfa-525	145	5	of	of	ADP
ajfa-525	145	6	thailand	thailand	PROPN
ajfa-525	145	7	during	during	ADP
ajfa-525	145	8	1992	1992	NUM
ajfa-525	145	9	to	to	ADP
ajfa-525	145	10	2009	2009	NUM
ajfa-525	145	11	the	the	DET
ajfa-525	145	12	total	total	ADJ
ajfa-525	145	13	number	number	NOUN
ajfa-525	145	14	of	of	ADP
ajfa-525	145	15	trading	trading	NOUN
ajfa-525	145	16	days	day	NOUN
ajfa-525	145	17	was	be	AUX
ajfa-525	145	18	3,923	3,923	NUM
ajfa-525	145	19	days	day	NOUN
ajfa-525	145	20	.	.	PUNCT
ajfa-525	146	1	during	during	ADP
ajfa-525	146	2	this	this	DET
ajfa-525	146	3	period	period	NOUN
ajfa-525	146	4	,	,	PUNCT
ajfa-525	146	5	there	there	PRON
ajfa-525	146	6	were	be	VERB
ajfa-525	146	7	206	206	NUM
ajfa-525	146	8	holidays	holiday	NOUN
ajfa-525	146	9	which	which	PRON
ajfa-525	146	10	could	could	AUX
ajfa-525	146	11	be	be	AUX
ajfa-525	146	12	classified	classify	VERB
ajfa-525	146	13	into	into	ADP
ajfa-525	146	14	142	142	NUM
ajfa-525	146	15	state	state	NOUN
ajfa-525	146	16	holidays	holiday	NOUN
ajfa-525	146	17	and	and	CCONJ
ajfa-525	146	18	64	64	NUM
ajfa-525	146	19	cultural	cultural	ADJ
ajfa-525	146	20	holidays	holiday	NOUN
ajfa-525	146	21	.	.	PUNCT
ajfa-525	147	1	asian	asian	ADJ
ajfa-525	147	2	 	 	SPACE
ajfa-525	147	3	journal	journal	NOUN
ajfa-525	147	4	 	 	SPACE
ajfa-525	147	5	of	of	ADP
ajfa-525	147	6	 	 	SPACE
ajfa-525	147	7	finance	finance	NOUN
ajfa-525	147	8	 	 	SPACE
ajfa-525	147	9	&	&	CCONJ
ajfa-525	147	10	 	 	SPACE
ajfa-525	147	11	accounting	account	VERB
ajfa-525	147	12	  	  	SPACE
ajfa-525	147	13	issn	issn	PROPN
ajfa-525	147	14	 	 	SPACE
ajfa-525	147	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	147	16	  	  	SPACE
ajfa-525	147	17	2010	2010	NUM
ajfa-525	147	18	,	,	PUNCT
ajfa-525	147	19	 	 	SPACE
ajfa-525	147	20	vol	vol	NOUN
ajfa-525	147	21	.	.	PUNCT
ajfa-525	147	22	 	 	SPACE
ajfa-525	147	23	2	2	NUM
ajfa-525	147	24	,	,	PUNCT
ajfa-525	147	25	 	 	SPACE
ajfa-525	147	26	no	no	INTJ
ajfa-525	147	27	.	.	PUNCT
ajfa-525	147	28	 	 	SPACE
ajfa-525	147	29	2	2	NUM
ajfa-525	147	30	,	,	PUNCT
ajfa-525	147	31	   	   	SPACE
ajfa-525	147	32	x	x	NOUN
ajfa-525	147	33	:	:	PUNCT
ajfa-525	147	34	 	 	SPACE
ajfa-525	147	35	e3	e3	VERB
ajfa-525	147	36	      	      	SPACE
ajfa-525	147	37	47	47	NUM
ajfa-525	147	38	  	  	SPACE
ajfa-525	147	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	147	40	  	  	SPACE
ajfa-525	147	41	table	table	VERB
ajfa-525	147	42	1	1	NUM
ajfa-525	147	43	.	.	PUNCT
ajfa-525	147	44	frequencies	frequency	NOUN
ajfa-525	147	45	for	for	ADP
ajfa-525	147	46	holidays	holiday	NOUN
ajfa-525	147	47	classified	classify	VERB
ajfa-525	147	48	according	accord	VERB
ajfa-525	147	49	to	to	ADP
ajfa-525	147	50	the	the	DET
ajfa-525	147	51	number	number	NOUN
ajfa-525	147	52	of	of	ADP
ajfa-525	147	53	days	day	NOUN
ajfa-525	147	54	in	in	ADP
ajfa-525	147	55	each	each	DET
ajfa-525	147	56	holiday	holiday	NOUN
ajfa-525	147	57	period	period	NOUN
ajfa-525	147	58	number	number	NOUN
ajfa-525	147	59	of	of	ADP
ajfa-525	147	60	days	day	NOUN
ajfa-525	147	61	in	in	ADP
ajfa-525	147	62	the	the	DET
ajfa-525	147	63	holiday	holiday	NOUN
ajfa-525	147	64	period	period	NOUN
ajfa-525	147	65	frequency	frequency	NOUN
ajfa-525	147	66	1	1	NUM
ajfa-525	147	67	75	75	NUM
ajfa-525	147	68	2	2	NUM
ajfa-525	147	69	1	1	NUM
ajfa-525	147	70	3	3	NUM
ajfa-525	147	71	100	100	NUM
ajfa-525	147	72	4	4	NUM
ajfa-525	147	73	24	24	NUM
ajfa-525	147	74	5	5	NUM
ajfa-525	147	75	6	6	NUM
ajfa-525	147	76	table	table	NOUN
ajfa-525	147	77	2	2	NUM
ajfa-525	147	78	reports	report	VERB
ajfa-525	147	79	the	the	DET
ajfa-525	147	80	descriptive	descriptive	ADJ
ajfa-525	147	81	statistics	statistic	NOUN
ajfa-525	147	82	and	and	CCONJ
ajfa-525	147	83	the	the	DET
ajfa-525	147	84	result	result	NOUN
ajfa-525	147	85	of	of	ADP
ajfa-525	147	86	unit	unit	NOUN
ajfa-525	147	87	root	root	NOUN
ajfa-525	147	88	tests	test	NOUN
ajfa-525	147	89	on	on	ADP
ajfa-525	147	90	set	set	ADJ
ajfa-525	147	91	returns	return	NOUN
ajfa-525	147	92	.	.	PUNCT
ajfa-525	148	1	as	as	ADP
ajfa-525	148	2	the	the	DET
ajfa-525	148	3	table	table	NOUN
ajfa-525	148	4	the	the	DET
ajfa-525	148	5	average	average	NOUN
ajfa-525	148	6	of	of	ADP
ajfa-525	148	7	the	the	DET
ajfa-525	148	8	daily	daily	ADJ
ajfa-525	148	9	stock	stock	NOUN
ajfa-525	148	10	returns	return	NOUN
ajfa-525	148	11	during	during	ADP
ajfa-525	148	12	the	the	DET
ajfa-525	148	13	study	study	NOUN
ajfa-525	148	14	period	period	NOUN
ajfa-525	148	15	is	be	AUX
ajfa-525	148	16	-0.0207	-0.0207	NOUN
ajfa-525	148	17	%	%	NOUN
ajfa-525	148	18	.	.	PUNCT
ajfa-525	149	1	the	the	DET
ajfa-525	149	2	stock	stock	NOUN
ajfa-525	149	3	returns	return	NOUN
ajfa-525	149	4	series	series	NOUN
ajfa-525	149	5	shows	show	VERB
ajfa-525	149	6	high	high	ADJ
ajfa-525	149	7	excess	excess	ADJ
ajfa-525	149	8	kurtosis	kurtosis	NOUN
ajfa-525	149	9	or	or	CCONJ
ajfa-525	149	10	is	be	AUX
ajfa-525	149	11	leptokurtic	leptokurtic	ADJ
ajfa-525	149	12	.	.	PUNCT
ajfa-525	150	1	this	this	PRON
ajfa-525	150	2	indicates	indicate	VERB
ajfa-525	150	3	volatility	volatility	NOUN
ajfa-525	150	4	persistence	persistence	NOUN
ajfa-525	150	5	and	and	CCONJ
ajfa-525	150	6	should	should	AUX
ajfa-525	150	7	be	be	AUX
ajfa-525	150	8	modeled	model	VERB
ajfa-525	150	9	by	by	ADP
ajfa-525	150	10	conditional	conditional	ADJ
ajfa-525	150	11	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	150	12	models	model	NOUN
ajfa-525	150	13	like	like	ADP
ajfa-525	150	14	garch	garch	NOUN
ajfa-525	150	15	.	.	PUNCT
ajfa-525	151	1	for	for	ADP
ajfa-525	151	2	the	the	DET
ajfa-525	151	3	adf	adf	NOUN
ajfa-525	151	4	tests	test	NOUN
ajfa-525	151	5	,	,	PUNCT
ajfa-525	151	6	the	the	DET
ajfa-525	151	7	null	null	ADJ
ajfa-525	151	8	hypothesis	hypothesis	NOUN
ajfa-525	151	9	of	of	ADP
ajfa-525	151	10	a	a	DET
ajfa-525	151	11	unit	unit	NOUN
ajfa-525	151	12	root	root	NOUN
ajfa-525	151	13	could	could	AUX
ajfa-525	151	14	be	be	AUX
ajfa-525	151	15	rejected	reject	VERB
ajfa-525	151	16	meaning	mean	VERB
ajfa-525	151	17	that	that	SCONJ
ajfa-525	151	18	there	there	PRON
ajfa-525	151	19	is	be	VERB
ajfa-525	151	20	no	no	DET
ajfa-525	151	21	unit	unit	NOUN
ajfa-525	151	22	root	root	NOUN
ajfa-525	151	23	in	in	ADP
ajfa-525	151	24	the	the	DET
ajfa-525	151	25	daily	daily	ADJ
ajfa-525	151	26	stock	stock	NOUN
ajfa-525	151	27	return	return	NOUN
ajfa-525	151	28	series	series	NOUN
ajfa-525	151	29	.	.	PUNCT
ajfa-525	152	1	the	the	DET
ajfa-525	152	2	stationary	stationary	NOUN
ajfa-525	152	3	of	of	ADP
ajfa-525	152	4	series	series	NOUN
ajfa-525	152	5	is	be	AUX
ajfa-525	152	6	confirmed	confirm	VERB
ajfa-525	152	7	by	by	ADP
ajfa-525	152	8	kpss	kpss	PROPN
ajfa-525	152	9	test	test	PROPN
ajfa-525	152	10	also	also	ADV
ajfa-525	152	11	as	as	SCONJ
ajfa-525	152	12	the	the	DET
ajfa-525	152	13	null	null	ADJ
ajfa-525	152	14	hypothesis	hypothesis	NOUN
ajfa-525	152	15	of	of	ADP
ajfa-525	152	16	stationary	stationary	NOUN
ajfa-525	152	17	could	could	AUX
ajfa-525	152	18	not	not	PART
ajfa-525	152	19	be	be	AUX
ajfa-525	152	20	rejected	reject	VERB
ajfa-525	152	21	.	.	PUNCT
ajfa-525	153	1	therefore	therefore	ADV
ajfa-525	153	2	,	,	PUNCT
ajfa-525	153	3	the	the	DET
ajfa-525	153	4	stock	stock	NOUN
ajfa-525	153	5	series	series	NOUN
ajfa-525	153	6	is	be	AUX
ajfa-525	153	7	stationary	stationary	ADJ
ajfa-525	153	8	and	and	CCONJ
ajfa-525	153	9	could	could	AUX
ajfa-525	153	10	be	be	AUX
ajfa-525	153	11	used	use	VERB
ajfa-525	153	12	in	in	ADP
ajfa-525	153	13	further	further	ADJ
ajfa-525	153	14	analysis	analysis	NOUN
ajfa-525	153	15	without	without	ADP
ajfa-525	153	16	any	any	DET
ajfa-525	153	17	transformation	transformation	NOUN
ajfa-525	153	18	.	.	PUNCT
ajfa-525	154	1	asian	asian	ADJ
ajfa-525	154	2	 	 	SPACE
ajfa-525	154	3	journal	journal	NOUN
ajfa-525	154	4	 	 	SPACE
ajfa-525	154	5	of	of	ADP
ajfa-525	154	6	 	 	SPACE
ajfa-525	154	7	finance	finance	NOUN
ajfa-525	154	8	 	 	SPACE
ajfa-525	154	9	&	&	CCONJ
ajfa-525	154	10	 	 	SPACE
ajfa-525	154	11	accounting	account	VERB
ajfa-525	154	12	  	  	SPACE
ajfa-525	154	13	issn	issn	PROPN
ajfa-525	154	14	 	 	SPACE
ajfa-525	154	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	154	16	  	  	SPACE
ajfa-525	154	17	2010	2010	NUM
ajfa-525	154	18	,	,	PUNCT
ajfa-525	154	19	 	 	SPACE
ajfa-525	154	20	vol	vol	NOUN
ajfa-525	154	21	.	.	PUNCT
ajfa-525	154	22	 	 	SPACE
ajfa-525	154	23	2	2	NUM
ajfa-525	154	24	,	,	PUNCT
ajfa-525	154	25	 	 	SPACE
ajfa-525	154	26	no	no	INTJ
ajfa-525	154	27	.	.	PUNCT
ajfa-525	154	28	 	 	SPACE
ajfa-525	154	29	2	2	NUM
ajfa-525	154	30	,	,	PUNCT
ajfa-525	154	31	   	   	SPACE
ajfa-525	154	32	x	x	NOUN
ajfa-525	154	33	:	:	PUNCT
ajfa-525	154	34	 	 	SPACE
ajfa-525	154	35	e3	e3	VERB
ajfa-525	154	36	      	      	SPACE
ajfa-525	154	37	48	48	NUM
ajfa-525	154	38	  	  	SPACE
ajfa-525	154	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	154	40	  	  	SPACE
ajfa-525	154	41	table	table	NOUN
ajfa-525	154	42	2	2	NUM
ajfa-525	154	43	.	.	PUNCT
ajfa-525	154	44	descriptive	descriptive	ADJ
ajfa-525	154	45	statistics	statistic	NOUN
ajfa-525	154	46	and	and	CCONJ
ajfa-525	154	47	unit	unit	NOUN
ajfa-525	154	48	root	root	NOUN
ajfa-525	154	49	test	test	NOUN
ajfa-525	154	50	results	result	NOUN
ajfa-525	154	51	for	for	ADP
ajfa-525	154	52	set	set	ADJ
ajfa-525	154	53	return	return	NOUN
ajfa-525	154	54	descriptive	descriptive	ADJ
ajfa-525	154	55	statistics	statistic	NOUN
ajfa-525	154	56	unit	unit	NOUN
ajfa-525	154	57	root	root	NOUN
ajfa-525	154	58	and	and	CCONJ
ajfa-525	154	59	stationary	stationary	ADJ
ajfa-525	154	60	test	test	NOUN
ajfa-525	154	61	mean	mean	PROPN
ajfa-525	154	62	-0.000207	-0.000207	PROPN
ajfa-525	155	1	adf	adf	PROPN
ajfa-525	155	2	test	test	NOUN
ajfa-525	155	3	median	median	PROPN
ajfa-525	155	4	-0.000367	-0.000367	PUNCT
ajfa-525	156	1	no	no	DET
ajfa-525	156	2	intercept	intercept	NOUN
ajfa-525	156	3	and	and	CCONJ
ajfa-525	156	4	trend	trend	NOUN
ajfa-525	156	5	-56.6632	-56.6632	INTJ
ajfa-525	156	6	*	*	NOUN
ajfa-525	156	7	*	*	NOUN
ajfa-525	156	8	maximum	maximum	PROPN
ajfa-525	156	9	0.113495	0.113495	NUM
ajfa-525	156	10	with	with	ADP
ajfa-525	156	11	intercept	intercept	NOUN
ajfa-525	156	12	only	only	ADV
ajfa-525	156	13	-56.6632	-56.6632	NOUN
ajfa-525	156	14	*	*	NOUN
ajfa-525	156	15	*	*	PUNCT
ajfa-525	156	16	minimum	minimum	ADJ
ajfa-525	156	17	-0.160633	-0.160633	NOUN
ajfa-525	156	18	with	with	ADP
ajfa-525	156	19	intercept	intercept	NOUN
ajfa-525	156	20	and	and	CCONJ
ajfa-525	156	21	trend	trend	NOUN
ajfa-525	156	22	-56.7063	-56.7063	INTJ
ajfa-525	156	23	*	*	NOUN
ajfa-525	156	24	*	*	ADJ
ajfa-525	156	25	std	std	PROPN
ajfa-525	156	26	.	.	PROPN
ajfa-525	156	27	dev	dev	PROPN
ajfa-525	156	28	.	.	PROPN
ajfa-525	156	29	0.017468	0.017468	NUM
ajfa-525	156	30	kpss	kpss	PROPN
ajfa-525	156	31	test	test	NOUN
ajfa-525	156	32	skewness	skewness	NOUN
ajfa-525	156	33	0.064731	0.064731	NUM
ajfa-525	156	34	with	with	ADP
ajfa-525	156	35	intercept	intercept	NOUN
ajfa-525	156	36	0.3852	0.3852	NUM
ajfa-525	156	37	kurtosis	kurtosis	NOUN
ajfa-525	156	38	9.223285	9.223285	NUM
ajfa-525	156	39	with	with	ADP
ajfa-525	156	40	intercept	intercept	NOUN
ajfa-525	156	41	and	and	CCONJ
ajfa-525	156	42	trend	trend	NOUN
ajfa-525	156	43	0.0827	0.0827	NUM
ajfa-525	156	44	*	*	PUNCT
ajfa-525	157	1	*	*	PUNCT
ajfa-525	157	2	significant	significant	ADJ
ajfa-525	157	3	at	at	ADP
ajfa-525	157	4	5	5	NUM
ajfa-525	157	5	%	%	NOUN
ajfa-525	157	6	*	*	PUNCT
ajfa-525	157	7	significant	significant	ADJ
ajfa-525	157	8	at	at	ADP
ajfa-525	157	9	10	10	NUM
ajfa-525	157	10	%	%	NOUN
ajfa-525	157	11	table	table	NOUN
ajfa-525	157	12	3	3	NUM
ajfa-525	157	13	reports	report	VERB
ajfa-525	157	14	the	the	DET
ajfa-525	157	15	result	result	NOUN
ajfa-525	157	16	of	of	ADP
ajfa-525	157	17	various	various	ADJ
ajfa-525	157	18	models	model	NOUN
ajfa-525	157	19	capturing	capture	VERB
ajfa-525	157	20	preholiday	preholiday	NOUN
ajfa-525	157	21	returns	return	NOUN
ajfa-525	157	22	and	and	CCONJ
ajfa-525	157	23	volatility	volatility	NOUN
ajfa-525	157	24	.	.	PUNCT
ajfa-525	158	1	the	the	DET
ajfa-525	158	2	constant	constant	ADJ
ajfa-525	158	3	of	of	ADP
ajfa-525	158	4	ols	ol	NOUN
ajfa-525	158	5	regression	regression	NOUN
ajfa-525	158	6	equation	equation	NOUN
ajfa-525	158	7	shows	show	VERB
ajfa-525	158	8	that	that	SCONJ
ajfa-525	158	9	the	the	DET
ajfa-525	158	10	returns	return	NOUN
ajfa-525	158	11	of	of	ADP
ajfa-525	158	12	non	non	NOUN
ajfa-525	158	13	-	-	NOUN
ajfa-525	158	14	preholidays	preholiday	NOUN
ajfa-525	158	15	are	be	AUX
ajfa-525	158	16	negative	negative	ADJ
ajfa-525	158	17	at	at	ADP
ajfa-525	158	18	0.0412	0.0412	NUM
ajfa-525	158	19	.	.	PUNCT
ajfa-525	159	1	the	the	DET
ajfa-525	159	2	coefficient	coefficient	NOUN
ajfa-525	159	3	of	of	ADP
ajfa-525	159	4	the	the	DET
ajfa-525	159	5	dummy	dummy	ADJ
ajfa-525	159	6	variable	variable	NOUN
ajfa-525	159	7	representing	represent	VERB
ajfa-525	159	8	the	the	DET
ajfa-525	159	9	difference	difference	NOUN
ajfa-525	159	10	in	in	ADP
ajfa-525	159	11	average	average	ADJ
ajfa-525	159	12	returns	return	NOUN
ajfa-525	159	13	between	between	ADP
ajfa-525	159	14	preholiday	preholiday	NOUN
ajfa-525	159	15	and	and	CCONJ
ajfa-525	159	16	other	other	ADJ
ajfa-525	159	17	days	day	NOUN
ajfa-525	159	18	is	be	AUX
ajfa-525	159	19	0.3910	0.3910	NUM
ajfa-525	159	20	%	%	NOUN
ajfa-525	159	21	reflecting	reflect	VERB
ajfa-525	159	22	that	that	SCONJ
ajfa-525	159	23	the	the	DET
ajfa-525	159	24	preholiday	preholiday	NOUN
ajfa-525	159	25	returns	return	NOUN
ajfa-525	159	26	are	be	AUX
ajfa-525	159	27	significantly	significantly	ADV
ajfa-525	159	28	higher	high	ADJ
ajfa-525	159	29	than	than	ADP
ajfa-525	159	30	non	non	ADJ
ajfa-525	159	31	-	-	ADJ
ajfa-525	159	32	preholiday	preholiday	ADJ
ajfa-525	159	33	returns	return	NOUN
ajfa-525	159	34	.	.	PUNCT
ajfa-525	160	1	the	the	DET
ajfa-525	160	2	ols	ols	PROPN
ajfa-525	160	3	regression	regression	NOUN
ajfa-525	160	4	suffers	suffer	VERB
ajfa-525	160	5	from	from	ADP
ajfa-525	160	6	the	the	DET
ajfa-525	160	7	conditional	conditional	ADJ
ajfa-525	160	8	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	160	9	as	as	ADP
ajfa-525	160	10	per	per	ADP
ajfa-525	160	11	the	the	DET
ajfa-525	160	12	arch	arch	ADJ
ajfa-525	160	13	-	-	PUNCT
ajfa-525	160	14	lm	lm	NUM
ajfa-525	160	15	test	test	NOUN
ajfa-525	160	16	.	.	PUNCT
ajfa-525	161	1	conditional	conditional	ADJ
ajfa-525	161	2	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	161	3	models	model	NOUN
ajfa-525	161	4	such	such	ADJ
ajfa-525	161	5	as	as	ADP
ajfa-525	161	6	garch(1,1	garch(1,1	NOUN
ajfa-525	161	7	)	)	PUNCT
ajfa-525	161	8	or	or	CCONJ
ajfa-525	161	9	egarch(1,1	egarch(1,1	NOUN
ajfa-525	161	10	)	)	PUNCT
ajfa-525	161	11	would	would	AUX
ajfa-525	161	12	be	be	AUX
ajfa-525	161	13	more	more	ADV
ajfa-525	161	14	attractive	attractive	ADJ
ajfa-525	161	15	than	than	ADP
ajfa-525	161	16	normal	normal	ADJ
ajfa-525	161	17	ols	ol	NOUN
ajfa-525	161	18	regression	regression	NOUN
ajfa-525	161	19	as	as	SCONJ
ajfa-525	161	20	they	they	PRON
ajfa-525	161	21	capture	capture	VERB
ajfa-525	161	22	volatility	volatility	NOUN
ajfa-525	161	23	in	in	ADP
ajfa-525	161	24	stock	stock	NOUN
ajfa-525	161	25	returns	return	NOUN
ajfa-525	161	26	.	.	PUNCT
ajfa-525	162	1	the	the	DET
ajfa-525	162	2	results	result	NOUN
ajfa-525	162	3	of	of	ADP
ajfa-525	162	4	both	both	DET
ajfa-525	162	5	garch	garch	NOUN
ajfa-525	162	6	model	model	NOUN
ajfa-525	162	7	and	and	CCONJ
ajfa-525	162	8	egarch	egarch	NOUN
ajfa-525	162	9	model	model	NOUN
ajfa-525	162	10	are	be	AUX
ajfa-525	162	11	consistent	consistent	ADJ
ajfa-525	162	12	as	as	SCONJ
ajfa-525	162	13	both	both	PRON
ajfa-525	162	14	can	can	AUX
ajfa-525	162	15	eliminate	eliminate	VERB
ajfa-525	162	16	the	the	DET
ajfa-525	162	17	conditional	conditional	ADJ
ajfa-525	162	18	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	162	19	and	and	CCONJ
ajfa-525	162	20	the	the	DET
ajfa-525	162	21	preholiday	preholiday	NOUN
ajfa-525	162	22	still	still	ADV
ajfa-525	162	23	shows	show	VERB
ajfa-525	162	24	higher	high	ADJ
ajfa-525	162	25	returns	return	NOUN
ajfa-525	162	26	than	than	ADP
ajfa-525	162	27	non	non	ADJ
ajfa-525	162	28	-	-	ADJ
ajfa-525	162	29	preholiday	preholiday	NOUN
ajfa-525	162	30	.	.	PUNCT
ajfa-525	163	1	however	however	ADV
ajfa-525	163	2	,	,	PUNCT
ajfa-525	163	3	the	the	DET
ajfa-525	163	4	garch	garch	NOUN
ajfa-525	163	5	-	-	PUNCT
ajfa-525	163	6	m	m	NOUN
ajfa-525	163	7	model	model	NOUN
ajfa-525	163	8	can	can	AUX
ajfa-525	163	9	not	not	PART
ajfa-525	163	10	eliminate	eliminate	VERB
ajfa-525	163	11	the	the	DET
ajfa-525	163	12	conditional	conditional	ADJ
ajfa-525	163	13	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	163	14	and	and	CCONJ
ajfa-525	163	15	therefore	therefore	ADV
ajfa-525	163	16	garch	garch	NOUN
ajfa-525	163	17	-	-	PUNCT
ajfa-525	163	18	m	m	NOUN
ajfa-525	163	19	model	model	NOUN
ajfa-525	163	20	is	be	AUX
ajfa-525	163	21	not	not	PART
ajfa-525	163	22	appropriate	appropriate	ADJ
ajfa-525	163	23	to	to	PART
ajfa-525	163	24	be	be	AUX
ajfa-525	163	25	used	use	VERB
ajfa-525	163	26	in	in	ADP
ajfa-525	163	27	further	further	ADJ
ajfa-525	163	28	analysis	analysis	NOUN
ajfa-525	163	29	.	.	PUNCT
ajfa-525	164	1	the	the	DET
ajfa-525	164	2	coefficient	coefficient	NOUN
ajfa-525	164	3	of	of	ADP
ajfa-525	164	4	asymmetric	asymmetric	ADJ
ajfa-525	164	5	term	term	NOUN
ajfa-525	164	6	(	(	PUNCT
ajfa-525	164	7	γ	γ	NOUN
ajfa-525	164	8	)	)	PUNCT
ajfa-525	164	9	of	of	ADP
ajfa-525	164	10	egarch	egarch	NOUN
ajfa-525	164	11	model	model	NOUN
ajfa-525	164	12	is	be	AUX
ajfa-525	164	13	-0.049	-0.049	PUNCT
ajfa-525	164	14	which	which	PRON
ajfa-525	164	15	is	be	AUX
ajfa-525	164	16	significant	significant	ADJ
ajfa-525	164	17	at	at	ADP
ajfa-525	164	18	the	the	DET
ajfa-525	164	19	five	five	NUM
ajfa-525	164	20	per	per	NOUN
ajfa-525	164	21	cent	cent	NOUN
ajfa-525	164	22	level	level	NOUN
ajfa-525	164	23	.	.	PUNCT
ajfa-525	165	1	the	the	DET
ajfa-525	165	2	value	value	NOUN
ajfa-525	165	3	of	of	ADP
ajfa-525	165	4	as	as	ADP
ajfa-525	165	5	the	the	DET
ajfa-525	165	6	akaike	akaike	ADJ
ajfa-525	165	7	information	information	NOUN
ajfa-525	165	8	criteria	criterion	NOUN
ajfa-525	165	9	(	(	PUNCT
ajfa-525	165	10	aic	aic	PROPN
ajfa-525	165	11	)	)	PUNCT
ajfa-525	165	12	and	and	CCONJ
ajfa-525	165	13	schwarz	schwarz	PROPN
ajfa-525	165	14	bayesian	bayesian	NOUN
ajfa-525	165	15	information	information	NOUN
ajfa-525	165	16	criteria	criterion	NOUN
ajfa-525	165	17	(	(	PUNCT
ajfa-525	165	18	sic	sic	ADJ
ajfa-525	165	19	)	)	PUNCT
ajfa-525	165	20	for	for	ADP
ajfa-525	165	21	garch	garch	NOUN
ajfa-525	165	22	model	model	NOUN
ajfa-525	165	23	is	be	AUX
ajfa-525	165	24	-5.5541	-5.5541	NOUN
ajfa-525	165	25	and	and	CCONJ
ajfa-525	165	26	-5.5492	-5.5492	NOUN
ajfa-525	165	27	,	,	PUNCT
ajfa-525	165	28	respectively	respectively	ADV
ajfa-525	165	29	.	.	PUNCT
ajfa-525	166	1	the	the	DET
ajfa-525	166	2	aic	aic	PROPN
ajfa-525	166	3	and	and	CCONJ
ajfa-525	166	4	sic	sic	ADJ
ajfa-525	166	5	for	for	ADP
ajfa-525	166	6	egarch	egarch	NOUN
ajfa-525	166	7	model	model	NOUN
ajfa-525	166	8	are	be	AUX
ajfa-525	166	9	-5.5645	-5.5645	NOUN
ajfa-525	166	10	and	and	CCONJ
ajfa-525	166	11	-5.5501	-5.5501	NOUN
ajfa-525	166	12	,	,	PUNCT
ajfa-525	166	13	respectively	respectively	ADV
ajfa-525	166	14	.	.	PUNCT
ajfa-525	167	1	this	this	PRON
ajfa-525	167	2	means	mean	VERB
ajfa-525	167	3	that	that	SCONJ
ajfa-525	167	4	the	the	DET
ajfa-525	167	5	performance	performance	NOUN
ajfa-525	167	6	of	of	ADP
ajfa-525	167	7	the	the	DET
ajfa-525	167	8	egarch	egarch	NOUN
ajfa-525	167	9	model	model	NOUN
ajfa-525	167	10	is	be	AUX
ajfa-525	167	11	better	well	ADJ
ajfa-525	167	12	than	than	ADP
ajfa-525	167	13	that	that	PRON
ajfa-525	167	14	of	of	ADP
ajfa-525	167	15	the	the	DET
ajfa-525	167	16	garch	garch	NOUN
ajfa-525	167	17	model	model	NOUN
ajfa-525	167	18	.	.	PUNCT
ajfa-525	168	1	the	the	DET
ajfa-525	168	2	coefficient	coefficient	NOUN
ajfa-525	168	3	of	of	ADP
ajfa-525	168	4	dummy	dummy	ADJ
ajfa-525	168	5	variable	variable	NOUN
ajfa-525	168	6	representing	represent	VERB
ajfa-525	168	7	preholiday	preholiday	NOUN
ajfa-525	168	8	in	in	ADP
ajfa-525	168	9	variance	variance	NOUN
ajfa-525	168	10	equation	equation	NOUN
ajfa-525	168	11	from	from	ADP
ajfa-525	168	12	both	both	PRON
ajfa-525	168	13	garch	garch	NOUN
ajfa-525	168	14	and	and	CCONJ
ajfa-525	168	15	egarch	egarch	NOUN
ajfa-525	168	16	models	model	NOUN
ajfa-525	168	17	is	be	AUX
ajfa-525	168	18	positive	positive	ADJ
ajfa-525	168	19	meaning	meaning	NOUN
ajfa-525	168	20	that	that	SCONJ
ajfa-525	168	21	the	the	DET
ajfa-525	168	22	volatility	volatility	NOUN
ajfa-525	168	23	would	would	AUX
ajfa-525	168	24	be	be	AUX
ajfa-525	168	25	higher	high	ADJ
ajfa-525	168	26	during	during	ADP
ajfa-525	168	27	the	the	DET
ajfa-525	168	28	preholiday	preholiday	ADJ
ajfa-525	168	29	period	period	NOUN
ajfa-525	168	30	.	.	PUNCT
ajfa-525	169	1	therefore	therefore	ADV
ajfa-525	169	2	,	,	PUNCT
ajfa-525	169	3	the	the	DET
ajfa-525	169	4	higher	high	ADJ
ajfa-525	169	5	returns	return	NOUN
ajfa-525	169	6	during	during	ADP
ajfa-525	169	7	preholiday	preholiday	NOUN
ajfa-525	169	8	periods	period	NOUN
ajfa-525	169	9	come	come	VERB
ajfa-525	169	10	with	with	ADP
ajfa-525	169	11	higher	high	ADJ
ajfa-525	169	12	volatility	volatility	NOUN
ajfa-525	169	13	.	.	PUNCT
ajfa-525	170	1	asian	asian	ADJ
ajfa-525	170	2	 	 	SPACE
ajfa-525	170	3	journal	journal	NOUN
ajfa-525	170	4	 	 	SPACE
ajfa-525	170	5	of	of	ADP
ajfa-525	170	6	 	 	SPACE
ajfa-525	170	7	finance	finance	NOUN
ajfa-525	170	8	 	 	SPACE
ajfa-525	170	9	&	&	CCONJ
ajfa-525	170	10	 	 	SPACE
ajfa-525	170	11	accounting	account	VERB
ajfa-525	170	12	  	  	SPACE
ajfa-525	170	13	issn	issn	PROPN
ajfa-525	170	14	 	 	SPACE
ajfa-525	170	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	170	16	  	  	SPACE
ajfa-525	170	17	2010	2010	NUM
ajfa-525	170	18	,	,	PUNCT
ajfa-525	170	19	 	 	SPACE
ajfa-525	170	20	vol	vol	NOUN
ajfa-525	170	21	.	.	PUNCT
ajfa-525	170	22	 	 	SPACE
ajfa-525	170	23	2	2	NUM
ajfa-525	170	24	,	,	PUNCT
ajfa-525	170	25	 	 	SPACE
ajfa-525	170	26	no	no	INTJ
ajfa-525	170	27	.	.	PUNCT
ajfa-525	170	28	 	 	SPACE
ajfa-525	170	29	2	2	NUM
ajfa-525	170	30	,	,	PUNCT
ajfa-525	170	31	   	   	SPACE
ajfa-525	170	32	x	x	NOUN
ajfa-525	170	33	:	:	PUNCT
ajfa-525	170	34	 	 	SPACE
ajfa-525	170	35	e3	e3	VERB
ajfa-525	170	36	      	      	SPACE
ajfa-525	170	37	49	49	NUM
ajfa-525	170	38	  	  	SPACE
ajfa-525	170	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	170	40	  	  	SPACE
ajfa-525	170	41	table	table	VERB
ajfa-525	170	42	3	3	NUM
ajfa-525	170	43	.	.	PUNCT
ajfa-525	170	44	test	test	NOUN
ajfa-525	170	45	of	of	ADP
ajfa-525	170	46	preholiday	preholiday	NOUN
ajfa-525	170	47	returns	return	NOUN
ajfa-525	170	48	and	and	CCONJ
ajfa-525	170	49	volatility	volatility	NOUN
ajfa-525	170	50	variable	variable	ADJ
ajfa-525	170	51	ols	ol	NOUN
ajfa-525	170	52	garch(1,1	garch(1,1	NOUN
ajfa-525	170	53	)	)	PUNCT
ajfa-525	170	54	egarch(1,1	egarch(1,1	NOUN
ajfa-525	170	55	)	)	PUNCT
ajfa-525	170	56	garch(1,1)-m	garch(1,1)-m	NOUN
ajfa-525	170	57	mean	mean	NOUN
ajfa-525	170	58	equation	equation	NOUN
ajfa-525	170	59	constant	constant	ADJ
ajfa-525	170	60	-0.000412	-0.000412	NOUN
ajfa-525	170	61	-0.000138	-0.000138	PROPN
ajfa-525	171	1	0.000250	0.000250	NUM
ajfa-525	171	2	-0.002204	-0.002204	NOUN
ajfa-525	171	3	dpre	dpre	VERB
ajfa-525	171	4	0.003910	0.003910	NUM
ajfa-525	171	5	*	*	PUNCT
ajfa-525	171	6	*	*	PUNCT
ajfa-525	171	7	0.003237	0.003237	PUNCT
ajfa-525	171	8	*	*	PUNCT
ajfa-525	171	9	*	*	PUNCT
ajfa-525	171	10	0.003266	0.003266	NUM
ajfa-525	171	11	*	*	PUNCT
ajfa-525	171	12	*	*	PUNCT
ajfa-525	171	13	0.003657	0.003657	PUNCT
ajfa-525	171	14	*	*	PUNCT
ajfa-525	171	15	*	*	NOUN
ajfa-525	171	16	rt-1	rt-1	ADP
ajfa-525	171	17	0.081487	0.081487	NUM
ajfa-525	171	18	*	*	PUNCT
ajfa-525	171	19	*	*	PUNCT
ajfa-525	171	20	0.078491	0.078491	NUM
ajfa-525	171	21	*	*	PUNCT
ajfa-525	171	22	*	*	PUNCT
ajfa-525	171	23	0.114905	0.114905	NUM
ajfa-525	171	24	*	*	PUNCT
ajfa-525	171	25	*	*	NOUN
ajfa-525	171	26	ℎ	ℎ	PART
ajfa-525	171	27	0.154426	0.154426	NUM
ajfa-525	171	28	variance	variance	NOUN
ajfa-525	171	29	equation	equation	NOUN
ajfa-525	171	30	constant	constant	VERB
ajfa-525	171	31	0.000006	0.000006	NUM
ajfa-525	171	32	-0.482098	-0.482098	NOUN
ajfa-525	171	33	0.000189	0.000189	NUM
ajfa-525	171	34	α	α	NOUN
ajfa-525	171	35	0.115105	0.115105	NUM
ajfa-525	171	36	*	*	PUNCT
ajfa-525	171	37	*	*	PUNCT
ajfa-525	172	1	0.219027	0.219027	NUM
ajfa-525	172	2	*	*	PUNCT
ajfa-525	172	3	*	*	PUNCT
ajfa-525	172	4	0.109967	0.109967	NUM
ajfa-525	172	5	*	*	PUNCT
ajfa-525	172	6	*	*	PUNCT
ajfa-525	172	7	β	β	X
ajfa-525	172	8	0.861138	0.861138	NUM
ajfa-525	172	9	*	*	PUNCT
ajfa-525	172	10	*	*	PUNCT
ajfa-525	172	11	0.963238	0.963238	NUM
ajfa-525	172	12	*	*	PUNCT
ajfa-525	172	13	*	*	PUNCT
ajfa-525	173	1	0.500793	0.500793	NUM
ajfa-525	173	2	*	*	PUNCT
ajfa-525	173	3	*	*	PUNCT
ajfa-525	173	4	γ	γ	X
ajfa-525	173	5	-0.049052	-0.049052	NOUN
ajfa-525	173	6	*	*	PROPN
ajfa-525	173	7	*	*	PUNCT
ajfa-525	173	8	dpre	dpre	NOUN
ajfa-525	173	9	0.000032	0.000032	PRON
ajfa-525	173	10	*	*	PUNCT
ajfa-525	173	11	*	*	PUNCT
ajfa-525	174	1	0.178332	0.178332	NUM
ajfa-525	174	2	*	*	PUNCT
ajfa-525	174	3	*	*	PUNCT
ajfa-525	174	4	-0.000253	-0.000253	NOUN
ajfa-525	174	5	*	*	PUNCT
ajfa-525	174	6	*	*	PUNCT
ajfa-525	174	7	arch(5	arch(5	PROPN
ajfa-525	174	8	)	)	PUNCT
ajfa-525	174	9	418.7093	418.7093	NUM
ajfa-525	174	10	*	*	PUNCT
ajfa-525	174	11	*	*	X
ajfa-525	174	12	1.3118	1.3118	NUM
ajfa-525	174	13	0.8364	0.8364	NUM
ajfa-525	174	14	54.1836	54.1836	NUM
ajfa-525	174	15	*	*	PUNCT
ajfa-525	174	16	*	*	PUNCT
ajfa-525	174	17	arch(10	arch(10	ADJ
ajfa-525	174	18	)	)	PUNCT
ajfa-525	174	19	478.0745	478.0745	NUM
ajfa-525	174	20	*	*	PUNCT
ajfa-525	174	21	*	*	PUNCT
ajfa-525	175	1	2.1861	2.1861	NUM
ajfa-525	175	2	1.1906	1.1906	NUM
ajfa-525	175	3	83.3482	83.3482	NUM
ajfa-525	175	4	*	*	PUNCT
ajfa-525	175	5	*	*	PUNCT
ajfa-525	175	6	aic	aic	PROPN
ajfa-525	175	7	-5.2585	-5.2585	PROPN
ajfa-525	175	8	-5.5541	-5.5541	PROPN
ajfa-525	175	9	-5.5645	-5.5645	PUNCT
ajfa-525	175	10	-5.4949	-5.4949	VERB
ajfa-525	175	11	sic	sic	ADJ
ajfa-525	175	12	-5.2553	-5.2553	NOUN
ajfa-525	175	13	-5.5492	-5.5492	PROPN
ajfa-525	175	14	-5.5501	-5.5501	X
ajfa-525	175	15	-5.4821	-5.4821	VERB
ajfa-525	176	1	*	*	PUNCT
ajfa-525	176	2	*	*	PUNCT
ajfa-525	176	3	significant	significant	ADJ
ajfa-525	176	4	at	at	ADP
ajfa-525	176	5	5	5	NUM
ajfa-525	176	6	%	%	NOUN
ajfa-525	176	7	*	*	PUNCT
ajfa-525	176	8	significant	significant	ADJ
ajfa-525	176	9	at	at	ADP
ajfa-525	176	10	10	10	NUM
ajfa-525	176	11	%	%	NOUN
ajfa-525	176	12	after	after	ADP
ajfa-525	176	13	confirming	confirm	VERB
ajfa-525	176	14	that	that	SCONJ
ajfa-525	176	15	abnormal	abnormal	ADJ
ajfa-525	176	16	returns	return	NOUN
ajfa-525	176	17	on	on	ADP
ajfa-525	176	18	preholidays	preholiday	NOUN
ajfa-525	176	19	have	have	AUX
ajfa-525	176	20	existed	exist	VERB
ajfa-525	176	21	in	in	ADP
ajfa-525	176	22	thai	thai	PROPN
ajfa-525	176	23	stock	stock	NOUN
ajfa-525	176	24	market	market	NOUN
ajfa-525	176	25	,	,	PUNCT
ajfa-525	176	26	further	further	ADJ
ajfa-525	176	27	investigation	investigation	NOUN
ajfa-525	176	28	is	be	AUX
ajfa-525	176	29	carried	carry	VERB
ajfa-525	176	30	out	out	ADP
ajfa-525	176	31	to	to	PART
ajfa-525	176	32	see	see	VERB
ajfa-525	176	33	whether	whether	SCONJ
ajfa-525	176	34	the	the	DET
ajfa-525	176	35	number	number	NOUN
ajfa-525	176	36	of	of	ADP
ajfa-525	176	37	days	day	NOUN
ajfa-525	176	38	during	during	ADP
ajfa-525	176	39	holiday	holiday	NOUN
ajfa-525	176	40	periods	period	NOUN
ajfa-525	176	41	can	can	AUX
ajfa-525	176	42	affect	affect	VERB
ajfa-525	176	43	the	the	DET
ajfa-525	176	44	level	level	NOUN
ajfa-525	176	45	of	of	ADP
ajfa-525	176	46	preholiday	preholiday	NOUN
ajfa-525	176	47	returns	return	NOUN
ajfa-525	176	48	.	.	PUNCT
ajfa-525	177	1	table	table	NOUN
ajfa-525	177	2	4	4	NUM
ajfa-525	177	3	reports	report	VERB
ajfa-525	177	4	the	the	DET
ajfa-525	177	5	results	result	NOUN
ajfa-525	177	6	of	of	ADP
ajfa-525	177	7	various	various	ADJ
ajfa-525	177	8	models	model	NOUN
ajfa-525	177	9	capturing	capture	VERB
ajfa-525	177	10	the	the	DET
ajfa-525	177	11	preholiday	preholiday	NOUN
ajfa-525	177	12	returns	return	NOUN
ajfa-525	177	13	and	and	CCONJ
ajfa-525	177	14	volatility	volatility	NOUN
ajfa-525	177	15	based	base	VERB
ajfa-525	177	16	on	on	ADP
ajfa-525	177	17	the	the	DET
ajfa-525	177	18	number	number	NOUN
ajfa-525	177	19	of	of	ADP
ajfa-525	177	20	days	day	NOUN
ajfa-525	177	21	in	in	ADP
ajfa-525	177	22	each	each	DET
ajfa-525	177	23	holiday	holiday	NOUN
ajfa-525	177	24	period	period	NOUN
ajfa-525	177	25	.	.	PUNCT
ajfa-525	178	1	from	from	ADP
ajfa-525	178	2	ols	ol	NOUN
ajfa-525	178	3	regression	regression	NOUN
ajfa-525	178	4	,	,	PUNCT
ajfa-525	178	5	the	the	DET
ajfa-525	178	6	coefficient	coefficient	NOUN
ajfa-525	178	7	of	of	ADP
ajfa-525	178	8	dummy	dummy	ADJ
ajfa-525	178	9	variable	variable	NOUN
ajfa-525	178	10	representing	represent	VERB
ajfa-525	178	11	the	the	DET
ajfa-525	178	12	difference	difference	NOUN
ajfa-525	178	13	in	in	ADP
ajfa-525	178	14	average	average	ADJ
ajfa-525	178	15	returns	return	NOUN
ajfa-525	178	16	between	between	ADP
ajfa-525	178	17	preholiday	preholiday	NOUN
ajfa-525	178	18	consisting	consist	VERB
ajfa-525	178	19	of	of	ADP
ajfa-525	178	20	one	one	NUM
ajfa-525	178	21	-	-	PUNCT
ajfa-525	178	22	and	and	CCONJ
ajfa-525	178	23	-	-	PUNCT
ajfa-525	178	24	two	two	NUM
ajfa-525	178	25	-	-	PUNCT
ajfa-525	178	26	days	day	NOUN
ajfa-525	178	27	is	be	AUX
ajfa-525	178	28	0.25	0.25	NUM
ajfa-525	178	29	%	%	NOUN
ajfa-525	178	30	while	while	SCONJ
ajfa-525	178	31	the	the	DET
ajfa-525	178	32	preholiday	preholiday	NOUN
ajfa-525	178	33	returns	return	VERB
ajfa-525	178	34	for	for	ADP
ajfa-525	178	35	three	three	NUM
ajfa-525	178	36	-	-	PUNCT
ajfa-525	178	37	day	day	NOUN
ajfa-525	178	38	holiday	holiday	NOUN
ajfa-525	178	39	period	period	NOUN
ajfa-525	178	40	is	be	AUX
ajfa-525	178	41	0.3817	0.3817	NUM
ajfa-525	178	42	%	%	NOUN
ajfa-525	178	43	and	and	CCONJ
ajfa-525	178	44	the	the	DET
ajfa-525	178	45	preholiday	preholiday	NOUN
ajfa-525	178	46	returns	return	VERB
ajfa-525	178	47	for	for	ADP
ajfa-525	178	48	more	more	ADJ
ajfa-525	178	49	than	than	ADP
ajfa-525	178	50	three	three	NUM
ajfa-525	178	51	days	day	NOUN
ajfa-525	178	52	is	be	AUX
ajfa-525	178	53	0.7792	0.7792	NUM
ajfa-525	178	54	%	%	NOUN
ajfa-525	178	55	.	.	PUNCT
ajfa-525	179	1	this	this	PRON
ajfa-525	179	2	means	mean	VERB
ajfa-525	179	3	that	that	SCONJ
ajfa-525	179	4	the	the	PRON
ajfa-525	179	5	longer	long	ADJ
ajfa-525	179	6	the	the	DET
ajfa-525	179	7	holiday	holiday	NOUN
ajfa-525	179	8	period	period	NOUN
ajfa-525	179	9	the	the	PRON
ajfa-525	179	10	higher	high	ADJ
ajfa-525	179	11	will	will	AUX
ajfa-525	179	12	be	be	AUX
ajfa-525	179	13	the	the	DET
ajfa-525	179	14	level	level	NOUN
ajfa-525	179	15	of	of	ADP
ajfa-525	179	16	preholiday	preholiday	NOUN
ajfa-525	179	17	abnormal	abnormal	ADJ
ajfa-525	179	18	returns	return	NOUN
ajfa-525	179	19	,	,	PUNCT
ajfa-525	179	20	though	though	SCONJ
ajfa-525	179	21	only	only	ADV
ajfa-525	179	22	the	the	DET
ajfa-525	179	23	preholiday	preholiday	NOUN
ajfa-525	179	24	returns	return	VERB
ajfa-525	179	25	for	for	ADP
ajfa-525	179	26	holidays	holiday	NOUN
ajfa-525	179	27	consisting	consist	VERB
ajfa-525	179	28	of	of	ADP
ajfa-525	179	29	more	more	ADJ
ajfa-525	179	30	than	than	ADP
ajfa-525	179	31	two	two	NUM
ajfa-525	179	32	days	day	NOUN
ajfa-525	179	33	has	have	AUX
ajfa-525	179	34	shown	show	VERB
ajfa-525	179	35	significant	significant	ADJ
ajfa-525	179	36	differences	difference	NOUN
ajfa-525	179	37	from	from	ADP
ajfa-525	179	38	those	those	PRON
ajfa-525	179	39	for	for	ADP
ajfa-525	179	40	non	non	NOUN
ajfa-525	179	41	-	-	NOUN
ajfa-525	179	42	preholidays	preholiday	NOUN
ajfa-525	179	43	.	.	PUNCT
ajfa-525	180	1	all	all	DET
ajfa-525	180	2	garch	garch	NOUN
ajfa-525	180	3	models	model	NOUN
ajfa-525	180	4	show	show	VERB
ajfa-525	180	5	that	that	SCONJ
ajfa-525	180	6	they	they	PRON
ajfa-525	180	7	can	can	AUX
ajfa-525	180	8	be	be	AUX
ajfa-525	180	9	used	use	VERB
ajfa-525	180	10	to	to	PART
ajfa-525	180	11	capture	capture	VERB
ajfa-525	180	12	conditional	conditional	ADJ
ajfa-525	180	13	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	180	14	.	.	PUNCT
ajfa-525	181	1	the	the	DET
ajfa-525	181	2	significance	significance	NOUN
ajfa-525	181	3	of	of	ADP
ajfa-525	181	4	the	the	DET
ajfa-525	181	5	asymmetric	asymmetric	ADJ
ajfa-525	181	6	term	term	NOUN
ajfa-525	181	7	of	of	ADP
ajfa-525	181	8	the	the	PRON
ajfa-525	181	9	and	and	CCONJ
ajfa-525	181	10	the	the	DET
ajfa-525	181	11	lower	low	ADJ
ajfa-525	181	12	value	value	NOUN
ajfa-525	181	13	of	of	ADP
ajfa-525	181	14	aic	aic	PROPN
ajfa-525	181	15	and	and	CCONJ
ajfa-525	181	16	sic	sic	ADJ
ajfa-525	181	17	shows	show	NOUN
ajfa-525	181	18	that	that	SCONJ
ajfa-525	181	19	egarch	egarch	NOUN
ajfa-525	181	20	model	model	NOUN
ajfa-525	181	21	is	be	AUX
ajfa-525	181	22	better	well	ADJ
ajfa-525	181	23	than	than	ADP
ajfa-525	181	24	garch	garch	NOUN
ajfa-525	181	25	and	and	CCONJ
ajfa-525	181	26	garch	garch	NOUN
ajfa-525	181	27	-	-	PUNCT
ajfa-525	181	28	m	m	NOUN
ajfa-525	181	29	models	model	NOUN
ajfa-525	181	30	.	.	PUNCT
ajfa-525	182	1	the	the	DET
ajfa-525	182	2	garch	garch	NOUN
ajfa-525	182	3	models	model	NOUN
ajfa-525	182	4	where	where	SCONJ
ajfa-525	182	5	the	the	DET
ajfa-525	182	6	volatility	volatility	NOUN
ajfa-525	182	7	of	of	ADP
ajfa-525	182	8	the	the	DET
ajfa-525	182	9	longest	long	ADJ
ajfa-525	182	10	holiday	holiday	NOUN
ajfa-525	182	11	periods	period	NOUN
ajfa-525	182	12	is	be	AUX
ajfa-525	182	13	considered	consider	VERB
ajfa-525	182	14	perform	perform	VERB
ajfa-525	182	15	better	well	ADJ
ajfa-525	182	16	than	than	ADP
ajfa-525	182	17	the	the	DET
ajfa-525	182	18	other	other	ADJ
ajfa-525	182	19	garch	garch	NOUN
ajfa-525	182	20	models	model	NOUN
ajfa-525	182	21	.	.	PUNCT
ajfa-525	183	1	therefore	therefore	ADV
ajfa-525	183	2	,	,	PUNCT
ajfa-525	183	3	the	the	DET
ajfa-525	183	4	long	long	ADJ
ajfa-525	183	5	holiday	holiday	NOUN
ajfa-525	183	6	period	period	NOUN
ajfa-525	183	7	will	will	AUX
ajfa-525	183	8	lead	lead	VERB
ajfa-525	183	9	to	to	ADP
ajfa-525	183	10	higher	high	ADJ
ajfa-525	183	11	abnormal	abnormal	ADJ
ajfa-525	183	12	preholiday	preholiday	NOUN
ajfa-525	183	13	returns	return	NOUN
ajfa-525	183	14	that	that	PRON
ajfa-525	183	15	come	come	VERB
ajfa-525	183	16	with	with	ADP
ajfa-525	183	17	higher	high	ADJ
ajfa-525	183	18	volatility	volatility	NOUN
ajfa-525	183	19	.	.	PUNCT
ajfa-525	184	1	asian	asian	ADJ
ajfa-525	184	2	 	 	SPACE
ajfa-525	184	3	journal	journal	NOUN
ajfa-525	184	4	 	 	SPACE
ajfa-525	184	5	of	of	ADP
ajfa-525	184	6	 	 	SPACE
ajfa-525	184	7	finance	finance	NOUN
ajfa-525	184	8	 	 	SPACE
ajfa-525	184	9	&	&	CCONJ
ajfa-525	184	10	 	 	SPACE
ajfa-525	184	11	accounting	account	VERB
ajfa-525	184	12	  	  	SPACE
ajfa-525	184	13	issn	issn	PROPN
ajfa-525	184	14	 	 	SPACE
ajfa-525	184	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	184	16	  	  	SPACE
ajfa-525	184	17	2010	2010	NUM
ajfa-525	184	18	,	,	PUNCT
ajfa-525	184	19	 	 	SPACE
ajfa-525	184	20	vol	vol	NOUN
ajfa-525	184	21	.	.	PUNCT
ajfa-525	184	22	 	 	SPACE
ajfa-525	184	23	2	2	NUM
ajfa-525	184	24	,	,	PUNCT
ajfa-525	184	25	 	 	SPACE
ajfa-525	184	26	no	no	INTJ
ajfa-525	184	27	.	.	PUNCT
ajfa-525	184	28	 	 	SPACE
ajfa-525	184	29	2	2	NUM
ajfa-525	184	30	,	,	PUNCT
ajfa-525	184	31	   	   	SPACE
ajfa-525	184	32	x	x	NOUN
ajfa-525	184	33	:	:	PUNCT
ajfa-525	184	34	 	 	SPACE
ajfa-525	184	35	e3	e3	VERB
ajfa-525	184	36	      	      	SPACE
ajfa-525	184	37	50	50	NUM
ajfa-525	184	38	  	  	SPACE
ajfa-525	184	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	184	40	  	  	SPACE
ajfa-525	184	41	table	table	VERB
ajfa-525	184	42	4	4	NUM
ajfa-525	184	43	.	.	PUNCT
ajfa-525	185	1	preholiday	preholiday	NOUN
ajfa-525	185	2	returns	return	NOUN
ajfa-525	185	3	and	and	CCONJ
ajfa-525	185	4	volatility	volatility	NOUN
ajfa-525	185	5	based	base	VERB
ajfa-525	185	6	on	on	ADP
ajfa-525	185	7	number	number	NOUN
ajfa-525	185	8	of	of	ADP
ajfa-525	185	9	days	day	NOUN
ajfa-525	185	10	for	for	ADP
ajfa-525	185	11	each	each	DET
ajfa-525	185	12	holiday	holiday	NOUN
ajfa-525	185	13	period	period	NOUN
ajfa-525	185	14	variable	variable	ADJ
ajfa-525	185	15	ols	ol	NOUN
ajfa-525	185	16	garch(1,1	garch(1,1	NOUN
ajfa-525	185	17	)	)	PUNCT
ajfa-525	185	18	egarch(1,1	egarch(1,1	NOUN
ajfa-525	185	19	)	)	PUNCT
ajfa-525	185	20	garch(1,1)-m	garch(1,1)-m	NOUN
ajfa-525	185	21	mean	mean	NOUN
ajfa-525	185	22	equation	equation	NOUN
ajfa-525	185	23	constant	constant	ADJ
ajfa-525	185	24	-0.000412	-0.000412	NOUN
ajfa-525	185	25	-0.000143	-0.000143	NOUN
ajfa-525	185	26	-0.000249	-0.000249	NOUN
ajfa-525	186	1	0.000624	0.000624	NUM
ajfa-525	186	2	d1	d1	NOUN
ajfa-525	186	3	0.002500	0.002500	NUM
ajfa-525	186	4	0.002203	0.002203	NUM
ajfa-525	186	5	0.002800	0.002800	NUM
ajfa-525	186	6	*	*	PUNCT
ajfa-525	186	7	0.002288	0.002288	NUM
ajfa-525	186	8	d2	d2	NOUN
ajfa-525	186	9	0.003817	0.003817	NUM
ajfa-525	186	10	*	*	PUNCT
ajfa-525	186	11	*	*	PUNCT
ajfa-525	186	12	0.002732	0.002732	NUM
ajfa-525	186	13	*	*	PUNCT
ajfa-525	186	14	*	*	PUNCT
ajfa-525	186	15	0.002975	0.002975	NUM
ajfa-525	186	16	*	*	PUNCT
ajfa-525	186	17	*	*	PUNCT
ajfa-525	186	18	0.002793	0.002793	PUNCT
ajfa-525	186	19	*	*	PUNCT
ajfa-525	186	20	*	*	PUNCT
ajfa-525	186	21	d3	d3	PROPN
ajfa-525	186	22	0.007792	0.007792	NUM
ajfa-525	186	23	*	*	PUNCT
ajfa-525	186	24	*	*	PUNCT
ajfa-525	186	25	0.005554	0.005554	NUM
ajfa-525	186	26	*	*	PUNCT
ajfa-525	186	27	0.005586	0.005586	NUM
ajfa-525	186	28	*	*	PUNCT
ajfa-525	186	29	0.005702	0.005702	NUM
ajfa-525	186	30	*	*	SYM
ajfa-525	186	31	*	*	NOUN
ajfa-525	186	32	rt-1	rt-1	NOUN
ajfa-525	186	33	0.080028	0.080028	NUM
ajfa-525	186	34	*	*	PUNCT
ajfa-525	186	35	*	*	PUNCT
ajfa-525	186	36	0.078609	0.078609	PUNCT
ajfa-525	186	37	*	*	PUNCT
ajfa-525	186	38	*	*	PUNCT
ajfa-525	186	39	0.081888	0.081888	PUNCT
ajfa-525	186	40	*	*	NOUN
ajfa-525	186	41	*	*	ADJ
ajfa-525	186	42	ℎ	ℎ	PROPN
ajfa-525	186	43	-0.056210	-0.056210	NOUN
ajfa-525	186	44	variance	variance	NOUN
ajfa-525	186	45	equation	equation	NOUN
ajfa-525	186	46	constant	constant	VERB
ajfa-525	186	47	0.000006	0.000006	NUM
ajfa-525	186	48	-0.503737	-0.503737	NOUN
ajfa-525	186	49	0.000006	0.000006	NUM
ajfa-525	186	50	α	α	NUM
ajfa-525	186	51	0.115602	0.115602	NUM
ajfa-525	186	52	*	*	PUNCT
ajfa-525	186	53	*	*	PUNCT
ajfa-525	186	54	0.222532	0.222532	NUM
ajfa-525	186	55	*	*	PUNCT
ajfa-525	186	56	*	*	PUNCT
ajfa-525	186	57	0.117237	0.117237	PUNCT
ajfa-525	186	58	*	*	PUNCT
ajfa-525	186	59	*	*	PUNCT
ajfa-525	186	60	β	β	VERB
ajfa-525	186	61	0.859258	0.859258	NUM
ajfa-525	186	62	*	*	PUNCT
ajfa-525	186	63	*	*	PUNCT
ajfa-525	186	64	0.960941	0.960941	NUM
ajfa-525	186	65	*	*	PUNCT
ajfa-525	186	66	*	*	PUNCT
ajfa-525	186	67	0.858281	0.858281	NUM
ajfa-525	186	68	*	*	PUNCT
ajfa-525	186	69	*	*	PUNCT
ajfa-525	186	70	γ	γ	X
ajfa-525	186	71	-0.051984	-0.051984	PROPN
ajfa-525	186	72	*	*	PUNCT
ajfa-525	186	73	*	*	PUNCT
ajfa-525	186	74	d1	d1	NOUN
ajfa-525	186	75	0.000038	0.000038	NUM
ajfa-525	186	76	0.178525	0.178525	NUM
ajfa-525	186	77	*	*	SYM
ajfa-525	186	78	0.000035	0.000035	NUM
ajfa-525	186	79	d2	d2	PROPN
ajfa-525	186	80	0.000021	0.000021	NUM
ajfa-525	186	81	0.090299	0.090299	NUM
ajfa-525	186	82	0.000021	0.000021	NUM
ajfa-525	186	83	d3	d3	PROPN
ajfa-525	186	84	0.000064	0.000064	NUM
ajfa-525	186	85	*	*	SYM
ajfa-525	186	86	0.434052	0.434052	NUM
ajfa-525	186	87	*	*	PUNCT
ajfa-525	186	88	*	*	PUNCT
ajfa-525	186	89	0.000068	0.000068	NUM
ajfa-525	186	90	*	*	NOUN
ajfa-525	186	91	arch(5	arch(5	PROPN
ajfa-525	186	92	)	)	PUNCT
ajfa-525	187	1	417.6787	417.6787	NUM
ajfa-525	187	2	*	*	PUNCT
ajfa-525	187	3	*	*	PUNCT
ajfa-525	187	4	1.0804	1.0804	NUM
ajfa-525	187	5	0.6376	0.6376	NUM
ajfa-525	187	6	1.1032	1.1032	NUM
ajfa-525	187	7	arch(10	arch(10	NOUN
ajfa-525	187	8	)	)	PUNCT
ajfa-525	187	9	476.8141	476.8141	NUM
ajfa-525	187	10	*	*	PUNCT
ajfa-525	187	11	*	*	X
ajfa-525	187	12	1.8906	1.8906	NUM
ajfa-525	187	13	0.9744	0.9744	NUM
ajfa-525	187	14	1.9377	1.9377	NUM
ajfa-525	187	15	aic	aic	PROPN
ajfa-525	187	16	-5.2581	-5.2581	NOUN
ajfa-525	187	17	-5.5587	-5.5587	PROPN
ajfa-525	187	18	-5.5638	-5.5638	PROPN
ajfa-525	187	19	-5.5577	-5.5577	PROPN
ajfa-525	187	20	sic	sic	PROPN
ajfa-525	187	21	-5.2516	-5.2516	PROPN
ajfa-525	187	22	-5.5395	-5.5395	PROPN
ajfa-525	187	23	-5.5430	-5.5430	PROPN
ajfa-525	187	24	-5.5369	-5.5369	PUNCT
ajfa-525	188	1	*	*	PUNCT
ajfa-525	188	2	*	*	PUNCT
ajfa-525	188	3	significant	significant	ADJ
ajfa-525	188	4	at	at	ADP
ajfa-525	188	5	5	5	NUM
ajfa-525	188	6	%	%	NOUN
ajfa-525	188	7	*	*	PUNCT
ajfa-525	188	8	significant	significant	ADJ
ajfa-525	188	9	at	at	ADP
ajfa-525	188	10	10	10	NUM
ajfa-525	188	11	%	%	NOUN
ajfa-525	188	12	finally	finally	ADV
ajfa-525	188	13	,	,	PUNCT
ajfa-525	188	14	the	the	DET
ajfa-525	188	15	preholiday	preholiday	NOUN
ajfa-525	188	16	returns	return	NOUN
ajfa-525	188	17	are	be	AUX
ajfa-525	188	18	further	far	ADV
ajfa-525	188	19	examined	examine	VERB
ajfa-525	188	20	to	to	PART
ajfa-525	188	21	see	see	VERB
ajfa-525	188	22	whether	whether	SCONJ
ajfa-525	188	23	they	they	PRON
ajfa-525	188	24	are	be	AUX
ajfa-525	188	25	related	relate	VERB
ajfa-525	188	26	to	to	ADP
ajfa-525	188	27	the	the	DET
ajfa-525	188	28	holiday	holiday	NOUN
ajfa-525	188	29	type	type	NOUN
ajfa-525	188	30	,	,	PUNCT
ajfa-525	188	31	cultural	cultural	ADJ
ajfa-525	188	32	holidays	holiday	NOUN
ajfa-525	188	33	and	and	CCONJ
ajfa-525	188	34	state	state	NOUN
ajfa-525	188	35	holidays	holiday	NOUN
ajfa-525	188	36	.	.	PUNCT
ajfa-525	189	1	table	table	NOUN
ajfa-525	189	2	5	5	NUM
ajfa-525	189	3	reports	report	VERB
ajfa-525	189	4	the	the	DET
ajfa-525	189	5	results	result	NOUN
ajfa-525	189	6	of	of	ADP
ajfa-525	189	7	various	various	ADJ
ajfa-525	189	8	models	model	NOUN
ajfa-525	189	9	capturing	capture	VERB
ajfa-525	189	10	the	the	DET
ajfa-525	189	11	preholiday	preholiday	NOUN
ajfa-525	189	12	returns	return	NOUN
ajfa-525	189	13	and	and	CCONJ
ajfa-525	189	14	volatility	volatility	NOUN
ajfa-525	189	15	with	with	ADP
ajfa-525	189	16	the	the	DET
ajfa-525	189	17	distinction	distinction	NOUN
ajfa-525	189	18	between	between	ADP
ajfa-525	189	19	state	state	NOUN
ajfa-525	189	20	holidays	holiday	NOUN
ajfa-525	189	21	and	and	CCONJ
ajfa-525	189	22	cultural	cultural	ADJ
ajfa-525	189	23	holidays	holiday	NOUN
ajfa-525	189	24	.	.	PUNCT
ajfa-525	190	1	the	the	DET
ajfa-525	190	2	result	result	NOUN
ajfa-525	190	3	based	base	VERB
ajfa-525	190	4	on	on	ADP
ajfa-525	190	5	the	the	DET
ajfa-525	190	6	ols	ol	NOUN
ajfa-525	190	7	regression	regression	NOUN
ajfa-525	190	8	shows	show	VERB
ajfa-525	190	9	that	that	SCONJ
ajfa-525	190	10	the	the	DET
ajfa-525	190	11	returns	return	NOUN
ajfa-525	190	12	on	on	ADP
ajfa-525	190	13	state	state	NOUN
ajfa-525	190	14	holidays	holiday	NOUN
ajfa-525	190	15	are	be	AUX
ajfa-525	190	16	statistically	statistically	ADV
ajfa-525	190	17	significantly	significantly	ADV
ajfa-525	190	18	higher	high	ADJ
ajfa-525	190	19	than	than	ADP
ajfa-525	190	20	non	non	ADJ
ajfa-525	190	21	-	-	ADJ
ajfa-525	190	22	preholiday	preholiday	ADJ
ajfa-525	190	23	returns	return	NOUN
ajfa-525	190	24	by	by	ADP
ajfa-525	190	25	0.4186	0.4186	NUM
ajfa-525	190	26	%	%	NOUN
ajfa-525	190	27	.	.	PUNCT
ajfa-525	191	1	the	the	DET
ajfa-525	191	2	returns	return	NOUN
ajfa-525	191	3	on	on	ADP
ajfa-525	191	4	cultural	cultural	ADJ
ajfa-525	191	5	holidays	holiday	NOUN
ajfa-525	191	6	are	be	AUX
ajfa-525	191	7	only	only	ADV
ajfa-525	191	8	0.3299	0.3299	NUM
ajfa-525	191	9	%	%	NOUN
ajfa-525	191	10	higher	high	ADJ
ajfa-525	191	11	than	than	ADP
ajfa-525	191	12	non	non	ADJ
ajfa-525	191	13	-	-	ADJ
ajfa-525	191	14	preholiday	preholiday	ADJ
ajfa-525	191	15	returns	return	NOUN
ajfa-525	191	16	.	.	PUNCT
ajfa-525	192	1	however	however	ADV
ajfa-525	192	2	,	,	PUNCT
ajfa-525	192	3	this	this	DET
ajfa-525	192	4	difference	difference	NOUN
ajfa-525	192	5	is	be	AUX
ajfa-525	192	6	not	not	PART
ajfa-525	192	7	statistically	statistically	ADV
ajfa-525	192	8	significant	significant	ADJ
ajfa-525	192	9	.	.	PUNCT
ajfa-525	193	1	based	base	VERB
ajfa-525	193	2	on	on	ADP
ajfa-525	193	3	wald	wald	PROPN
ajfa-525	193	4	’s	’s	PART
ajfa-525	193	5	coefficient	coefficient	PROPN
ajfa-525	193	6	test	test	NOUN
ajfa-525	193	7	the	the	DET
ajfa-525	193	8	returns	return	NOUN
ajfa-525	193	9	on	on	ADP
ajfa-525	193	10	state	state	NOUN
ajfa-525	193	11	holidays	holiday	NOUN
ajfa-525	193	12	and	and	CCONJ
ajfa-525	193	13	cultural	cultural	ADJ
ajfa-525	193	14	holidays	holiday	NOUN
ajfa-525	193	15	are	be	AUX
ajfa-525	193	16	not	not	PART
ajfa-525	193	17	statistically	statistically	ADV
ajfa-525	193	18	different	different	ADJ
ajfa-525	193	19	.	.	PUNCT
ajfa-525	194	1	the	the	DET
ajfa-525	194	2	results	result	NOUN
ajfa-525	194	3	from	from	ADP
ajfa-525	194	4	all	all	DET
ajfa-525	194	5	garch	garch	NOUN
ajfa-525	194	6	models	model	NOUN
ajfa-525	194	7	show	show	VERB
ajfa-525	194	8	similar	similar	ADJ
ajfa-525	194	9	results	result	NOUN
ajfa-525	194	10	that	that	SCONJ
ajfa-525	194	11	they	they	PRON
ajfa-525	194	12	can	can	AUX
ajfa-525	194	13	capture	capture	VERB
ajfa-525	194	14	the	the	DET
ajfa-525	194	15	conditional	conditional	ADJ
ajfa-525	194	16	volatility	volatility	NOUN
ajfa-525	194	17	.	.	PUNCT
ajfa-525	195	1	the	the	DET
ajfa-525	195	2	returns	return	NOUN
ajfa-525	195	3	are	be	AUX
ajfa-525	195	4	abnormally	abnormally	ADV
ajfa-525	195	5	high	high	ADJ
ajfa-525	195	6	only	only	ADV
ajfa-525	195	7	for	for	ADP
ajfa-525	195	8	state	state	NOUN
ajfa-525	195	9	holidays	holiday	NOUN
ajfa-525	195	10	but	but	CCONJ
ajfa-525	195	11	not	not	PART
ajfa-525	195	12	for	for	ADP
ajfa-525	195	13	cultural	cultural	ADJ
ajfa-525	195	14	holidays	holiday	NOUN
ajfa-525	195	15	,	,	PUNCT
ajfa-525	195	16	and	and	CCONJ
ajfa-525	195	17	only	only	ADV
ajfa-525	195	18	state	state	NOUN
ajfa-525	195	19	holidays	holiday	NOUN
ajfa-525	195	20	show	show	VERB
ajfa-525	195	21	a	a	DET
ajfa-525	195	22	positive	positive	ADJ
ajfa-525	195	23	effect	effect	NOUN
ajfa-525	195	24	on	on	ADP
ajfa-525	195	25	the	the	DET
ajfa-525	195	26	asian	asian	ADJ
ajfa-525	195	27	 	 	SPACE
ajfa-525	195	28	journal	journal	NOUN
ajfa-525	195	29	 	 	SPACE
ajfa-525	195	30	of	of	ADP
ajfa-525	195	31	 	 	SPACE
ajfa-525	195	32	finance	finance	NOUN
ajfa-525	195	33	 	 	SPACE
ajfa-525	195	34	&	&	CCONJ
ajfa-525	195	35	 	 	SPACE
ajfa-525	195	36	accounting	account	VERB
ajfa-525	195	37	  	  	SPACE
ajfa-525	195	38	issn	issn	PROPN
ajfa-525	195	39	 	 	SPACE
ajfa-525	195	40	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	195	41	  	  	SPACE
ajfa-525	195	42	2010	2010	NUM
ajfa-525	195	43	,	,	PUNCT
ajfa-525	195	44	 	 	SPACE
ajfa-525	195	45	vol	vol	NOUN
ajfa-525	195	46	.	.	PUNCT
ajfa-525	195	47	 	 	SPACE
ajfa-525	196	1	2	2	NUM
ajfa-525	196	2	,	,	PUNCT
ajfa-525	196	3	 	 	SPACE
ajfa-525	196	4	no	no	INTJ
ajfa-525	196	5	.	.	PUNCT
ajfa-525	196	6	 	 	SPACE
ajfa-525	197	1	2	2	NUM
ajfa-525	197	2	,	,	PUNCT
ajfa-525	197	3	   	   	SPACE
ajfa-525	197	4	x	x	NOUN
ajfa-525	197	5	:	:	PUNCT
ajfa-525	197	6	 	 	SPACE
ajfa-525	197	7	e3	e3	VERB
ajfa-525	197	8	      	      	SPACE
ajfa-525	197	9	51	51	NUM
ajfa-525	197	10	  	  	SPACE
ajfa-525	197	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	197	12	  	  	SPACE
ajfa-525	197	13	volatility	volatility	NOUN
ajfa-525	197	14	level	level	NOUN
ajfa-525	197	15	.	.	PUNCT
ajfa-525	198	1	this	this	DET
ajfa-525	198	2	finding	finding	NOUN
ajfa-525	198	3	contradicts	contradict	VERB
ajfa-525	198	4	those	those	PRON
ajfa-525	198	5	of	of	ADP
ajfa-525	198	6	previous	previous	ADJ
ajfa-525	198	7	research	research	NOUN
ajfa-525	198	8	that	that	PRON
ajfa-525	198	9	show	show	VERB
ajfa-525	198	10	abnormal	abnormal	ADJ
ajfa-525	198	11	preholiday	preholiday	NOUN
ajfa-525	198	12	returns	return	NOUN
ajfa-525	198	13	come	come	VERB
ajfa-525	198	14	with	with	ADP
ajfa-525	198	15	cultural	cultural	ADJ
ajfa-525	198	16	preholidays	preholiday	NOUN
ajfa-525	198	17	and	and	CCONJ
ajfa-525	198	18	not	not	PART
ajfa-525	198	19	with	with	ADP
ajfa-525	198	20	state	state	NOUN
ajfa-525	198	21	preholidays	preholiday	NOUN
ajfa-525	198	22	.	.	PUNCT
ajfa-525	199	1	table	table	NOUN
ajfa-525	199	2	5	5	NUM
ajfa-525	199	3	.	.	PUNCT
ajfa-525	200	1	preholiday	preholiday	NOUN
ajfa-525	200	2	returns	return	NOUN
ajfa-525	200	3	and	and	CCONJ
ajfa-525	200	4	volatility	volatility	NOUN
ajfa-525	200	5	for	for	ADP
ajfa-525	200	6	state	state	NOUN
ajfa-525	200	7	holidays	holiday	NOUN
ajfa-525	200	8	and	and	CCONJ
ajfa-525	200	9	cultural	cultural	ADJ
ajfa-525	200	10	holidays	holiday	NOUN
ajfa-525	200	11	variable	variable	PROPN
ajfa-525	200	12	ols	ol	NOUN
ajfa-525	200	13	garch(1,1	garch(1,1	PROPN
ajfa-525	200	14	)	)	PUNCT
ajfa-525	200	15	egarch(1,1	egarch(1,1	NOUN
ajfa-525	200	16	)	)	PUNCT
ajfa-525	201	1	garch(1,1)-m	garch(1,1)-m	NOUN
ajfa-525	201	2	mean	mean	NOUN
ajfa-525	201	3	equation	equation	NOUN
ajfa-525	201	4	constant	constant	ADJ
ajfa-525	201	5	-0.000412	-0.000412	PROPN
ajfa-525	201	6	-0.000141	-0.000141	VERB
ajfa-525	201	7	-0.000263	-0.000263	PROPN
ajfa-525	202	1	0.000630	0.000630	NUM
ajfa-525	202	2	state1	state1	NOUN
ajfa-525	202	3	0.004186	0.004186	NUM
ajfa-525	202	4	*	*	SYM
ajfa-525	202	5	*	*	PUNCT
ajfa-525	202	6	0.003518	0.003518	NUM
ajfa-525	202	7	*	*	PUNCT
ajfa-525	202	8	*	*	PUNCT
ajfa-525	202	9	0.003736	0.003736	NUM
ajfa-525	202	10	*	*	X
ajfa-525	202	11	*	*	X
ajfa-525	202	12	0.003550	0.003550	NUM
ajfa-525	202	13	*	*	PUNCT
ajfa-525	202	14	*	*	NOUN
ajfa-525	202	15	cultural1	cultural1	NOUN
ajfa-525	202	16	0.003299	0.003299	NUM
ajfa-525	202	17	0.002131	0.002131	NUM
ajfa-525	202	18	0.001742	0.001742	NUM
ajfa-525	202	19	0.002186	0.002186	NUM
ajfa-525	202	20	rt-1	rt-1	NUM
ajfa-525	202	21	0.081207	0.081207	NUM
ajfa-525	202	22	*	*	NOUN
ajfa-525	202	23	*	*	PUNCT
ajfa-525	202	24	0.078469	0.078469	NUM
ajfa-525	202	25	*	*	X
ajfa-525	202	26	*	*	NOUN
ajfa-525	202	27	0.082863	0.082863	NUM
ajfa-525	202	28	*	*	SYM
ajfa-525	202	29	*	*	NOUN
ajfa-525	202	30	ℎ	ℎ	PROPN
ajfa-525	202	31	-0.056679	-0.056679	NOUN
ajfa-525	202	32	variance	variance	NOUN
ajfa-525	202	33	equation	equation	NOUN
ajfa-525	202	34	constant	constant	VERB
ajfa-525	202	35	0.000006	0.000006	NUM
ajfa-525	202	36	-0.463816	-0.463816	NOUN
ajfa-525	203	1	0.000005	0.000005	NUM
ajfa-525	203	2	α	α	NOUN
ajfa-525	203	3	0.114073	0.114073	NUM
ajfa-525	203	4	*	*	PUNCT
ajfa-525	203	5	*	*	PUNCT
ajfa-525	203	6	0.214481	0.214481	NUM
ajfa-525	203	7	*	*	PUNCT
ajfa-525	203	8	*	*	PUNCT
ajfa-525	204	1	0.115450	0.115450	NUM
ajfa-525	204	2	*	*	PUNCT
ajfa-525	204	3	*	*	PUNCT
ajfa-525	204	4	β	β	X
ajfa-525	204	5	0.862990	0.862990	NUM
ajfa-525	204	6	*	*	PUNCT
ajfa-525	204	7	*	*	PUNCT
ajfa-525	204	8	0.964987	0.964987	NUM
ajfa-525	204	9	*	*	PUNCT
ajfa-525	204	10	*	*	PUNCT
ajfa-525	205	1	0.862323	0.862323	NUM
ajfa-525	205	2	*	*	PUNCT
ajfa-525	205	3	*	*	PUNCT
ajfa-525	205	4	γ	γ	X
ajfa-525	205	5	-0.049170	-0.049170	NOUN
ajfa-525	205	6	*	*	PUNCT
ajfa-525	205	7	*	*	PUNCT
ajfa-525	205	8	state	state	NOUN
ajfa-525	205	9	0.000037	0.000037	NUM
ajfa-525	205	10	*	*	NOUN
ajfa-525	205	11	*	*	PUNCT
ajfa-525	205	12	0.225726	0.225726	NUM
ajfa-525	205	13	*	*	X
ajfa-525	205	14	*	*	PUNCT
ajfa-525	205	15	0.000036	0.000036	NUM
ajfa-525	205	16	*	*	PUNCT
ajfa-525	205	17	*	*	PUNCT
ajfa-525	205	18	cultural	cultural	ADJ
ajfa-525	205	19	0.000018	0.000018	NUM
ajfa-525	205	20	0.052922	0.052922	NUM
ajfa-525	205	21	0.000020	0.000020	NUM
ajfa-525	205	22	arch(5	arch(5	NOUN
ajfa-525	205	23	)	)	PUNCT
ajfa-525	205	24	418.7093	418.7093	NUM
ajfa-525	205	25	*	*	PUNCT
ajfa-525	205	26	*	*	NOUN
ajfa-525	205	27	1.2399	1.2399	NUM
ajfa-525	205	28	0.9577	0.9577	NUM
ajfa-525	205	29	1.2695	1.2695	NUM
ajfa-525	205	30	arch(10	arch(10	ADJ
ajfa-525	205	31	)	)	PUNCT
ajfa-525	205	32	478.0745	478.0745	NUM
ajfa-525	205	33	*	*	SYM
ajfa-525	205	34	*	*	PROPN
ajfa-525	205	35	2.1526	2.1526	NUM
ajfa-525	205	36	1.3487	1.3487	NUM
ajfa-525	205	37	2.2117	2.2117	NUM
ajfa-525	205	38	aic	aic	PROPN
ajfa-525	205	39	-5.2581	-5.2581	NOUN
ajfa-525	205	40	-5.5591	-5.5591	PROPN
ajfa-525	206	1	-5.5641	-5.5641	PROPN
ajfa-525	206	2	-5.5579	-5.5579	PROPN
ajfa-525	207	1	sic	sic	ADJ
ajfa-525	207	2	-5.2532	-5.2532	NOUN
ajfa-525	207	3	-5.5431	-5.5431	VERB
ajfa-525	207	4	-5.5465	-5.5465	PROPN
ajfa-525	207	5	-5.5403	-5.5403	NOUN
ajfa-525	208	1	*	*	PUNCT
ajfa-525	208	2	*	*	PUNCT
ajfa-525	208	3	significant	significant	ADJ
ajfa-525	208	4	at	at	ADP
ajfa-525	208	5	5	5	NUM
ajfa-525	208	6	%	%	NOUN
ajfa-525	208	7	*	*	PUNCT
ajfa-525	208	8	significant	significant	ADJ
ajfa-525	208	9	at	at	ADP
ajfa-525	208	10	10	10	NUM
ajfa-525	208	11	%	%	NOUN
ajfa-525	208	12	1the	1the	ADJ
ajfa-525	208	13	test	test	NOUN
ajfa-525	208	14	statistics	statistic	NOUN
ajfa-525	208	15	of	of	ADP
ajfa-525	208	16	wald	wald	PROPN
ajfa-525	208	17	’s	’s	PROPN
ajfa-525	208	18	f	f	PROPN
ajfa-525	208	19	test	test	NOUN
ajfa-525	208	20	between	between	ADP
ajfa-525	208	21	coefficient	coefficient	NOUN
ajfa-525	208	22	of	of	ADP
ajfa-525	208	23	state	state	NOUN
ajfa-525	208	24	holiday	holiday	NOUN
ajfa-525	208	25	dummy	dummy	NOUN
ajfa-525	208	26	and	and	CCONJ
ajfa-525	208	27	cultural	cultural	ADJ
ajfa-525	208	28	holiday	holiday	NOUN
ajfa-525	208	29	dummy	dummy	NOUN
ajfa-525	208	30	is	be	AUX
ajfa-525	208	31	0.113870	0.113870	NUM
ajfa-525	208	32	,	,	PUNCT
ajfa-525	208	33	which	which	PRON
ajfa-525	208	34	is	be	AUX
ajfa-525	208	35	not	not	PART
ajfa-525	208	36	significant	significant	ADJ
ajfa-525	208	37	at	at	ADP
ajfa-525	208	38	10	10	NUM
ajfa-525	208	39	%	%	NOUN
ajfa-525	208	40	.	.	PUNCT
ajfa-525	209	1	during	during	ADP
ajfa-525	209	2	the	the	DET
ajfa-525	209	3	sample	sample	NOUN
ajfa-525	209	4	period	period	NOUN
ajfa-525	209	5	of	of	ADP
ajfa-525	209	6	this	this	DET
ajfa-525	209	7	study	study	NOUN
ajfa-525	209	8	,	,	PUNCT
ajfa-525	209	9	the	the	DET
ajfa-525	209	10	stock	stock	NOUN
ajfa-525	209	11	market	market	NOUN
ajfa-525	209	12	performance	performance	NOUN
ajfa-525	209	13	in	in	ADP
ajfa-525	209	14	thailand	thailand	PROPN
ajfa-525	209	15	may	may	AUX
ajfa-525	209	16	have	have	AUX
ajfa-525	209	17	been	be	AUX
ajfa-525	209	18	affected	affect	VERB
ajfa-525	209	19	by	by	ADP
ajfa-525	209	20	the	the	DET
ajfa-525	209	21	asian	asian	ADJ
ajfa-525	209	22	crisis	crisis	NOUN
ajfa-525	209	23	in	in	ADP
ajfa-525	209	24	1997	1997	NUM
ajfa-525	209	25	.	.	PUNCT
ajfa-525	210	1	in	in	ADP
ajfa-525	210	2	order	order	NOUN
ajfa-525	210	3	to	to	PART
ajfa-525	210	4	control	control	VERB
ajfa-525	210	5	for	for	ADP
ajfa-525	210	6	this	this	DET
ajfa-525	210	7	event	event	NOUN
ajfa-525	210	8	a	a	DET
ajfa-525	210	9	dummy	dummy	ADJ
ajfa-525	210	10	variable	variable	NOUN
ajfa-525	210	11	representing	represent	VERB
ajfa-525	210	12	the	the	DET
ajfa-525	210	13	period	period	NOUN
ajfa-525	210	14	of	of	ADP
ajfa-525	210	15	asian	asian	ADJ
ajfa-525	210	16	crisis	crisis	NOUN
ajfa-525	210	17	in	in	ADP
ajfa-525	210	18	thailand	thailand	PROPN
ajfa-525	210	19	is	be	AUX
ajfa-525	210	20	introduced	introduce	VERB
ajfa-525	210	21	into	into	ADP
ajfa-525	210	22	the	the	DET
ajfa-525	210	23	model	model	NOUN
ajfa-525	210	24	.	.	PUNCT
ajfa-525	211	1	the	the	DET
ajfa-525	211	2	period	period	NOUN
ajfa-525	211	3	of	of	ADP
ajfa-525	211	4	asian	asian	ADJ
ajfa-525	211	5	crisis	crisis	NOUN
ajfa-525	211	6	in	in	ADP
ajfa-525	211	7	thailand	thailand	PROPN
ajfa-525	211	8	is	be	AUX
ajfa-525	211	9	the	the	DET
ajfa-525	211	10	period	period	NOUN
ajfa-525	211	11	between	between	ADP
ajfa-525	211	12	1996	1996	NUM
ajfa-525	211	13	and	and	CCONJ
ajfa-525	211	14	1998	1998	NUM
ajfa-525	211	15	.	.	PUNCT
ajfa-525	212	1	this	this	DET
ajfa-525	212	2	dummy	dummy	ADJ
ajfa-525	212	3	variable	variable	NOUN
ajfa-525	212	4	would	would	AUX
ajfa-525	212	5	be	be	AUX
ajfa-525	212	6	added	add	VERB
ajfa-525	212	7	to	to	ADP
ajfa-525	212	8	both	both	PRON
ajfa-525	212	9	mean	mean	VERB
ajfa-525	212	10	and	and	CCONJ
ajfa-525	212	11	variance	variance	NOUN
ajfa-525	212	12	equations	equation	NOUN
ajfa-525	212	13	to	to	PART
ajfa-525	212	14	control	control	VERB
ajfa-525	212	15	the	the	DET
ajfa-525	212	16	effect	effect	NOUN
ajfa-525	212	17	on	on	ADP
ajfa-525	212	18	both	both	PRON
ajfa-525	212	19	mean	mean	ADJ
ajfa-525	212	20	and	and	CCONJ
ajfa-525	212	21	volatility	volatility	NOUN
ajfa-525	212	22	levels	level	NOUN
ajfa-525	212	23	.	.	PUNCT
ajfa-525	213	1	table	table	NOUN
ajfa-525	213	2	6	6	NUM
ajfa-525	213	3	reports	report	VERB
ajfa-525	213	4	the	the	DET
ajfa-525	213	5	results	result	NOUN
ajfa-525	213	6	of	of	ADP
ajfa-525	213	7	the	the	DET
ajfa-525	213	8	egarch	egarch	NOUN
ajfa-525	213	9	model	model	NOUN
ajfa-525	213	10	after	after	ADP
ajfa-525	213	11	controlling	control	VERB
ajfa-525	213	12	for	for	ADP
ajfa-525	213	13	the	the	DET
ajfa-525	213	14	asian	asian	ADJ
ajfa-525	213	15	crisis	crisis	NOUN
ajfa-525	213	16	.	.	PUNCT
ajfa-525	214	1	the	the	DET
ajfa-525	214	2	negative	negative	ADJ
ajfa-525	214	3	coefficient	coefficient	NOUN
ajfa-525	214	4	of	of	ADP
ajfa-525	214	5	the	the	DET
ajfa-525	214	6	dummy	dummy	ADJ
ajfa-525	214	7	variable	variable	NOUN
ajfa-525	214	8	for	for	ADP
ajfa-525	214	9	asian	asian	ADJ
ajfa-525	214	10	crisis	crisis	NOUN
ajfa-525	214	11	in	in	ADP
ajfa-525	214	12	the	the	DET
ajfa-525	214	13	mean	mean	ADJ
ajfa-525	214	14	equation	equation	NOUN
ajfa-525	214	15	shows	show	VERB
ajfa-525	214	16	that	that	SCONJ
ajfa-525	214	17	the	the	DET
ajfa-525	214	18	returns	return	NOUN
ajfa-525	214	19	are	be	AUX
ajfa-525	214	20	abnormally	abnormally	ADV
ajfa-525	214	21	low	low	ADJ
ajfa-525	214	22	during	during	ADP
ajfa-525	214	23	the	the	DET
ajfa-525	214	24	crisis	crisis	NOUN
ajfa-525	214	25	period	period	NOUN
ajfa-525	214	26	.	.	PUNCT
ajfa-525	215	1	moreover	moreover	ADV
ajfa-525	215	2	,	,	PUNCT
ajfa-525	215	3	the	the	DET
ajfa-525	215	4	positive	positive	ADJ
ajfa-525	215	5	coefficient	coefficient	NOUN
ajfa-525	215	6	of	of	ADP
ajfa-525	215	7	the	the	DET
ajfa-525	215	8	dummy	dummy	ADJ
ajfa-525	215	9	variable	variable	NOUN
ajfa-525	215	10	for	for	ADP
ajfa-525	215	11	asian	asian	ADJ
ajfa-525	215	12	crisis	crisis	NOUN
ajfa-525	215	13	in	in	ADP
ajfa-525	215	14	the	the	DET
ajfa-525	215	15	variance	variance	NOUN
ajfa-525	215	16	equation	equation	NOUN
ajfa-525	215	17	shows	show	VERB
ajfa-525	215	18	that	that	SCONJ
ajfa-525	215	19	the	the	DET
ajfa-525	215	20	level	level	NOUN
ajfa-525	215	21	of	of	ADP
ajfa-525	215	22	volatility	volatility	NOUN
ajfa-525	215	23	is	be	AUX
ajfa-525	215	24	asian	asian	ADJ
ajfa-525	215	25	 	 	SPACE
ajfa-525	215	26	journal	journal	NOUN
ajfa-525	215	27	 	 	SPACE
ajfa-525	215	28	of	of	ADP
ajfa-525	215	29	 	 	SPACE
ajfa-525	215	30	finance	finance	NOUN
ajfa-525	215	31	 	 	SPACE
ajfa-525	215	32	&	&	CCONJ
ajfa-525	215	33	 	 	SPACE
ajfa-525	215	34	accounting	account	VERB
ajfa-525	215	35	  	  	SPACE
ajfa-525	215	36	issn	issn	PROPN
ajfa-525	215	37	 	 	SPACE
ajfa-525	215	38	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	215	39	  	  	SPACE
ajfa-525	215	40	2010	2010	NUM
ajfa-525	215	41	,	,	PUNCT
ajfa-525	215	42	 	 	SPACE
ajfa-525	215	43	vol	vol	NOUN
ajfa-525	215	44	.	.	PUNCT
ajfa-525	215	45	 	 	SPACE
ajfa-525	216	1	2	2	NUM
ajfa-525	216	2	,	,	PUNCT
ajfa-525	216	3	 	 	SPACE
ajfa-525	216	4	no	no	INTJ
ajfa-525	216	5	.	.	PUNCT
ajfa-525	216	6	 	 	SPACE
ajfa-525	217	1	2	2	NUM
ajfa-525	217	2	,	,	PUNCT
ajfa-525	217	3	   	   	SPACE
ajfa-525	217	4	x	x	NOUN
ajfa-525	217	5	:	:	PUNCT
ajfa-525	217	6	 	 	SPACE
ajfa-525	217	7	e3	e3	VERB
ajfa-525	217	8	      	      	SPACE
ajfa-525	217	9	52	52	NUM
ajfa-525	217	10	  	  	SPACE
ajfa-525	217	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	217	12	  	  	SPACE
ajfa-525	217	13	higher	high	ADJ
ajfa-525	217	14	during	during	ADP
ajfa-525	217	15	the	the	DET
ajfa-525	217	16	crisis	crisis	NOUN
ajfa-525	217	17	period	period	NOUN
ajfa-525	217	18	.	.	PUNCT
ajfa-525	218	1	the	the	DET
ajfa-525	218	2	other	other	ADJ
ajfa-525	218	3	coefficients	coefficient	NOUN
ajfa-525	218	4	show	show	VERB
ajfa-525	218	5	qualitatively	qualitatively	ADV
ajfa-525	218	6	similar	similar	ADJ
ajfa-525	218	7	results	result	NOUN
ajfa-525	218	8	obtained	obtain	VERB
ajfa-525	218	9	from	from	ADP
ajfa-525	218	10	the	the	DET
ajfa-525	218	11	models	model	NOUN
ajfa-525	218	12	estimated	estimate	VERB
ajfa-525	218	13	earlier	early	ADV
ajfa-525	218	14	.	.	PUNCT
ajfa-525	219	1	this	this	PRON
ajfa-525	219	2	implies	imply	VERB
ajfa-525	219	3	that	that	SCONJ
ajfa-525	219	4	the	the	DET
ajfa-525	219	5	effect	effect	NOUN
ajfa-525	219	6	of	of	ADP
ajfa-525	219	7	the	the	DET
ajfa-525	219	8	asian	asian	ADJ
ajfa-525	219	9	crisis	crisis	NOUN
ajfa-525	219	10	does	do	AUX
ajfa-525	219	11	not	not	PART
ajfa-525	219	12	alter	alter	VERB
ajfa-525	219	13	the	the	DET
ajfa-525	219	14	abnormal	abnormal	ADJ
ajfa-525	219	15	returns	return	NOUN
ajfa-525	219	16	and	and	CCONJ
ajfa-525	219	17	higher	high	ADJ
ajfa-525	219	18	volatility	volatility	NOUN
ajfa-525	219	19	during	during	ADP
ajfa-525	219	20	the	the	DET
ajfa-525	219	21	preholiday	preholiday	NOUN
ajfa-525	219	22	periods	period	NOUN
ajfa-525	219	23	.	.	PUNCT
ajfa-525	220	1	furthermore	furthermore	ADV
ajfa-525	220	2	,	,	PUNCT
ajfa-525	220	3	it	it	PRON
ajfa-525	220	4	does	do	AUX
ajfa-525	220	5	not	not	PART
ajfa-525	220	6	alter	alter	VERB
ajfa-525	220	7	the	the	DET
ajfa-525	220	8	results	result	NOUN
ajfa-525	220	9	related	relate	VERB
ajfa-525	220	10	to	to	ADP
ajfa-525	220	11	the	the	DET
ajfa-525	220	12	number	number	NOUN
ajfa-525	220	13	of	of	ADP
ajfa-525	220	14	holidays	holiday	NOUN
ajfa-525	220	15	and	and	CCONJ
ajfa-525	220	16	state	state	NOUN
ajfa-525	220	17	holidays	holiday	NOUN
ajfa-525	220	18	and	and	CCONJ
ajfa-525	220	19	cultural	cultural	ADJ
ajfa-525	220	20	holidays	holiday	NOUN
ajfa-525	220	21	reported	report	VERB
ajfa-525	220	22	earlier	early	ADV
ajfa-525	220	23	.	.	PUNCT
ajfa-525	221	1	table	table	NOUN
ajfa-525	221	2	6	6	NUM
ajfa-525	221	3	.	.	PUNCT
ajfa-525	222	1	the	the	DET
ajfa-525	222	2	egarch	egarch	NOUN
ajfa-525	222	3	result	result	NOUN
ajfa-525	222	4	after	after	ADP
ajfa-525	222	5	controlling	control	VERB
ajfa-525	222	6	for	for	ADP
ajfa-525	222	7	the	the	DET
ajfa-525	222	8	asian	asian	ADJ
ajfa-525	222	9	crisis	crisis	NOUN
ajfa-525	222	10	in	in	ADP
ajfa-525	222	11	1996	1996	NUM
ajfa-525	222	12	-	-	SYM
ajfa-525	222	13	1998	1998	NUM
ajfa-525	222	14	variable	variable	ADJ
ajfa-525	222	15	model	model	NOUN
ajfa-525	222	16	1	1	NUM
ajfa-525	222	17	model	model	NOUN
ajfa-525	222	18	2	2	NUM
ajfa-525	222	19	model	model	NOUN
ajfa-525	222	20	3	3	NUM
ajfa-525	222	21	mean	mean	NOUN
ajfa-525	222	22	equation	equation	NOUN
ajfa-525	222	23	constant	constant	ADJ
ajfa-525	222	24	0.000108	0.000108	NUM
ajfa-525	222	25	0.000102	0.000102	NUM
ajfa-525	222	26	0.000099	0.000099	NUM
ajfa-525	222	27	dpre	dpre	NOUN
ajfa-525	222	28	0.003405	0.003405	NUM
ajfa-525	222	29	*	*	PUNCT
ajfa-525	222	30	*	*	PUNCT
ajfa-525	222	31	d1	d1	NOUN
ajfa-525	222	32	0.002470	0.002470	NUM
ajfa-525	222	33	d2	d2	PROPN
ajfa-525	222	34	0.003313	0.003313	NUM
ajfa-525	222	35	*	*	PUNCT
ajfa-525	222	36	*	*	PUNCT
ajfa-525	222	37	d3	d3	PROPN
ajfa-525	222	38	0.005935	0.005935	PRON
ajfa-525	222	39	*	*	PUNCT
ajfa-525	222	40	*	*	PUNCT
ajfa-525	222	41	state	state	NOUN
ajfa-525	222	42	0.003641	0.003641	NUM
ajfa-525	222	43	*	*	NOUN
ajfa-525	222	44	*	*	NOUN
ajfa-525	222	45	cultural	cultural	ADJ
ajfa-525	222	46	0.001884	0.001884	NUM
ajfa-525	222	47	rt-1	rt-1	NUM
ajfa-525	222	48	0.076572	0.076572	NUM
ajfa-525	222	49	*	*	SYM
ajfa-525	222	50	*	*	PUNCT
ajfa-525	222	51	0.076072	0.076072	NUM
ajfa-525	222	52	*	*	SYM
ajfa-525	222	53	*	*	PUNCT
ajfa-525	222	54	0.075986	0.075986	NUM
ajfa-525	222	55	*	*	PUNCT
ajfa-525	222	56	*	*	PUNCT
ajfa-525	222	57	d1996	d1996	PROPN
ajfa-525	222	58	-	-	PUNCT
ajfa-525	222	59	1998	1998	NUM
ajfa-525	222	60	-0.003210	-0.003210	NOUN
ajfa-525	222	61	*	*	PUNCT
ajfa-525	222	62	*	*	PUNCT
ajfa-525	222	63	-0.003227	-0.003227	PUNCT
ajfa-525	222	64	*	*	PUNCT
ajfa-525	222	65	*	*	PUNCT
ajfa-525	222	66	-0.003227	-0.003227	PUNCT
ajfa-525	222	67	*	*	PUNCT
ajfa-525	222	68	*	*	PUNCT
ajfa-525	222	69	variance	variance	NOUN
ajfa-525	222	70	equation	equation	NOUN
ajfa-525	222	71	constant	constant	ADJ
ajfa-525	222	72	-0.548994	-0.548994	PROPN
ajfa-525	222	73	-0.580894	-0.580894	PROPN
ajfa-525	222	74	-0.528907	-0.528907	PROPN
ajfa-525	223	1	α	α	X
ajfa-525	223	2	0.225075	0.225075	NUM
ajfa-525	223	3	*	*	PUNCT
ajfa-525	223	4	*	*	PUNCT
ajfa-525	223	5	0.229726	0.229726	NUM
ajfa-525	223	6	*	*	PUNCT
ajfa-525	223	7	*	*	PUNCT
ajfa-525	224	1	0.220699	0.220699	NUM
ajfa-525	224	2	*	*	PUNCT
ajfa-525	224	3	*	*	PUNCT
ajfa-525	224	4	β	β	NOUN
ajfa-525	224	5	0.956492	0.956492	NUM
ajfa-525	224	6	*	*	PUNCT
ajfa-525	224	7	*	*	PUNCT
ajfa-525	224	8	0.953094	0.953094	PUNCT
ajfa-525	224	9	*	*	PUNCT
ajfa-525	224	10	*	*	PUNCT
ajfa-525	224	11	0.958448	0.958448	NUM
ajfa-525	224	12	*	*	PUNCT
ajfa-525	224	13	*	*	PUNCT
ajfa-525	224	14	γ	γ	X
ajfa-525	224	15	-0.052011	-0.052011	NOUN
ajfa-525	224	16	*	*	PUNCT
ajfa-525	224	17	*	*	NOUN
ajfa-525	224	18	-0.055949	-0.055949	X
ajfa-525	224	19	*	*	PUNCT
ajfa-525	224	20	*	*	PUNCT
ajfa-525	224	21	-0.052137	-0.052137	NOUN
ajfa-525	224	22	*	*	PUNCT
ajfa-525	224	23	*	*	PUNCT
ajfa-525	224	24	dpre	dpre	X
ajfa-525	224	25	0.174998	0.174998	NUM
ajfa-525	225	1	*	*	PUNCT
ajfa-525	225	2	*	*	PUNCT
ajfa-525	225	3	d1	d1	PROPN
ajfa-525	225	4	0.169166	0.169166	NUM
ajfa-525	225	5	d2	d2	PROPN
ajfa-525	225	6	0.086976	0.086976	PROPN
ajfa-525	225	7	d3	d3	PROPN
ajfa-525	225	8	0.451380	0.451380	NUM
ajfa-525	225	9	*	*	NOUN
ajfa-525	225	10	*	*	NOUN
ajfa-525	225	11	state	state	NOUN
ajfa-525	225	12	0.219654	0.219654	NUM
ajfa-525	225	13	*	*	PUNCT
ajfa-525	225	14	*	*	PUNCT
ajfa-525	225	15	cultural	cultural	ADJ
ajfa-525	225	16	0.060436	0.060436	NUM
ajfa-525	225	17	d1996	d1996	PROPN
ajfa-525	225	18	-	-	SYM
ajfa-525	225	19	1998	1998	NUM
ajfa-525	225	20	0.032669	0.032669	NUM
ajfa-525	225	21	*	*	PUNCT
ajfa-525	225	22	*	*	PUNCT
ajfa-525	225	23	0.034581	0.034581	NUM
ajfa-525	225	24	*	*	PUNCT
ajfa-525	225	25	*	*	PUNCT
ajfa-525	225	26	0.031467	0.031467	NUM
ajfa-525	225	27	*	*	PUNCT
ajfa-525	225	28	*	*	PUNCT
ajfa-525	226	1	*	*	PUNCT
ajfa-525	226	2	*	*	PUNCT
ajfa-525	226	3	significant	significant	ADJ
ajfa-525	226	4	at	at	ADP
ajfa-525	226	5	5	5	NUM
ajfa-525	226	6	%	%	NOUN
ajfa-525	226	7	*	*	PUNCT
ajfa-525	226	8	significant	significant	ADJ
ajfa-525	226	9	at	at	ADP
ajfa-525	226	10	10	10	NUM
ajfa-525	226	11	%	%	NOUN
ajfa-525	226	12	asian	asian	ADJ
ajfa-525	226	13	 	 	SPACE
ajfa-525	226	14	journal	journal	NOUN
ajfa-525	226	15	 	 	SPACE
ajfa-525	226	16	of	of	ADP
ajfa-525	226	17	 	 	SPACE
ajfa-525	226	18	finance	finance	NOUN
ajfa-525	226	19	 	 	SPACE
ajfa-525	226	20	&	&	CCONJ
ajfa-525	226	21	 	 	SPACE
ajfa-525	226	22	accounting	account	VERB
ajfa-525	226	23	  	  	SPACE
ajfa-525	226	24	issn	issn	PROPN
ajfa-525	226	25	 	 	SPACE
ajfa-525	226	26	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	226	27	  	  	SPACE
ajfa-525	226	28	2010	2010	NUM
ajfa-525	226	29	,	,	PUNCT
ajfa-525	226	30	 	 	SPACE
ajfa-525	226	31	vol	vol	NOUN
ajfa-525	226	32	.	.	PUNCT
ajfa-525	226	33	 	 	SPACE
ajfa-525	227	1	2	2	NUM
ajfa-525	227	2	,	,	PUNCT
ajfa-525	227	3	 	 	SPACE
ajfa-525	227	4	no	no	INTJ
ajfa-525	227	5	.	.	PUNCT
ajfa-525	227	6	 	 	SPACE
ajfa-525	228	1	2	2	NUM
ajfa-525	228	2	,	,	PUNCT
ajfa-525	228	3	   	   	SPACE
ajfa-525	228	4	x	x	NOUN
ajfa-525	228	5	:	:	PUNCT
ajfa-525	228	6	 	 	SPACE
ajfa-525	228	7	e3	e3	VERB
ajfa-525	228	8	      	      	SPACE
ajfa-525	228	9	53	53	NUM
ajfa-525	228	10	  	  	SPACE
ajfa-525	228	11	www.macrothink.org/ajfa	www.macrothink.org/ajfa	NOUN
ajfa-525	228	12	  	  	SPACE
ajfa-525	228	13	5	5	NUM
ajfa-525	228	14	.	.	PUNCT
ajfa-525	228	15	conclusion	conclusion	NOUN
ajfa-525	228	16	this	this	DET
ajfa-525	228	17	research	research	NOUN
ajfa-525	228	18	investigated	investigate	VERB
ajfa-525	228	19	the	the	DET
ajfa-525	228	20	holiday	holiday	NOUN
ajfa-525	228	21	effect	effect	NOUN
ajfa-525	228	22	in	in	ADP
ajfa-525	228	23	the	the	DET
ajfa-525	228	24	thai	thai	ADJ
ajfa-525	228	25	stock	stock	NOUN
ajfa-525	228	26	market	market	NOUN
ajfa-525	228	27	.	.	PUNCT
ajfa-525	229	1	the	the	DET
ajfa-525	229	2	overall	overall	ADJ
ajfa-525	229	3	market	market	NOUN
ajfa-525	229	4	performance	performance	NOUN
ajfa-525	229	5	is	be	AUX
ajfa-525	229	6	examined	examine	VERB
ajfa-525	229	7	from	from	ADP
ajfa-525	229	8	set	set	VERB
ajfa-525	229	9	index	index	NOUN
ajfa-525	229	10	,	,	PUNCT
ajfa-525	229	11	which	which	PRON
ajfa-525	229	12	is	be	AUX
ajfa-525	229	13	the	the	DET
ajfa-525	229	14	market	market	NOUN
ajfa-525	229	15	value	value	NOUN
ajfa-525	229	16	-	-	PUNCT
ajfa-525	229	17	weighted	weight	VERB
ajfa-525	229	18	index	index	NOUN
ajfa-525	229	19	of	of	ADP
ajfa-525	229	20	all	all	DET
ajfa-525	229	21	stocks	stock	NOUN
ajfa-525	229	22	traded	trade	VERB
ajfa-525	229	23	in	in	ADP
ajfa-525	229	24	the	the	DET
ajfa-525	229	25	stock	stock	NOUN
ajfa-525	229	26	exchange	exchange	NOUN
ajfa-525	229	27	of	of	ADP
ajfa-525	229	28	thailand	thailand	PROPN
ajfa-525	229	29	.	.	PUNCT
ajfa-525	230	1	the	the	DET
ajfa-525	230	2	result	result	NOUN
ajfa-525	230	3	confirms	confirm	VERB
ajfa-525	230	4	that	that	SCONJ
ajfa-525	230	5	the	the	DET
ajfa-525	230	6	holiday	holiday	NOUN
ajfa-525	230	7	effect	effect	NOUN
ajfa-525	230	8	exists	exist	VERB
ajfa-525	230	9	in	in	ADP
ajfa-525	230	10	thailand	thailand	PROPN
ajfa-525	230	11	because	because	SCONJ
ajfa-525	230	12	the	the	DET
ajfa-525	230	13	stock	stock	NOUN
ajfa-525	230	14	returns	return	NOUN
ajfa-525	230	15	are	be	AUX
ajfa-525	230	16	abnormally	abnormally	ADV
ajfa-525	230	17	high	high	ADJ
ajfa-525	230	18	during	during	ADP
ajfa-525	230	19	the	the	DET
ajfa-525	230	20	preholiday	preholiday	PROPN
ajfa-525	230	21	trading	trading	NOUN
ajfa-525	230	22	day	day	NOUN
ajfa-525	230	23	.	.	PUNCT
ajfa-525	231	1	even	even	ADV
ajfa-525	231	2	after	after	SCONJ
ajfa-525	231	3	the	the	DET
ajfa-525	231	4	model	model	NOUN
ajfa-525	231	5	is	be	AUX
ajfa-525	231	6	adjusted	adjust	VERB
ajfa-525	231	7	to	to	PART
ajfa-525	231	8	account	account	VERB
ajfa-525	231	9	for	for	ADP
ajfa-525	231	10	conditional	conditional	ADJ
ajfa-525	231	11	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	231	12	by	by	ADP
ajfa-525	231	13	various	various	ADJ
ajfa-525	231	14	garch	garch	NOUN
ajfa-525	231	15	models	model	NOUN
ajfa-525	231	16	,	,	PUNCT
ajfa-525	231	17	the	the	DET
ajfa-525	231	18	result	result	NOUN
ajfa-525	231	19	is	be	AUX
ajfa-525	231	20	still	still	ADV
ajfa-525	231	21	the	the	DET
ajfa-525	231	22	same	same	ADJ
ajfa-525	231	23	in	in	ADP
ajfa-525	231	24	which	which	PRON
ajfa-525	231	25	the	the	DET
ajfa-525	231	26	returns	return	NOUN
ajfa-525	231	27	for	for	ADP
ajfa-525	231	28	preholiday	preholiday	NOUN
ajfa-525	231	29	periods	period	NOUN
ajfa-525	231	30	are	be	AUX
ajfa-525	231	31	statistically	statistically	ADV
ajfa-525	231	32	higher	high	ADJ
ajfa-525	231	33	than	than	ADP
ajfa-525	231	34	non	non	ADJ
ajfa-525	231	35	-	-	ADJ
ajfa-525	231	36	preholiday	preholiday	ADJ
ajfa-525	231	37	periods	period	NOUN
ajfa-525	231	38	.	.	PUNCT
ajfa-525	232	1	however	however	ADV
ajfa-525	232	2	,	,	PUNCT
ajfa-525	232	3	there	there	PRON
ajfa-525	232	4	is	be	VERB
ajfa-525	232	5	an	an	DET
ajfa-525	232	6	interesting	interesting	ADJ
ajfa-525	232	7	issue	issue	NOUN
ajfa-525	232	8	that	that	SCONJ
ajfa-525	232	9	the	the	DET
ajfa-525	232	10	preholiday	preholiday	NOUN
ajfa-525	232	11	period	period	NOUN
ajfa-525	232	12	with	with	ADP
ajfa-525	232	13	abnormally	abnormally	ADV
ajfa-525	232	14	above	above	ADP
ajfa-525	232	15	-	-	PUNCT
ajfa-525	232	16	average	average	NOUN
ajfa-525	232	17	returns	return	NOUN
ajfa-525	232	18	comes	come	VERB
ajfa-525	232	19	with	with	ADP
ajfa-525	232	20	higher	high	ADJ
ajfa-525	232	21	volatility	volatility	NOUN
ajfa-525	232	22	level	level	NOUN
ajfa-525	232	23	.	.	PUNCT
ajfa-525	233	1	the	the	DET
ajfa-525	233	2	higher	high	ADJ
ajfa-525	233	3	volatility	volatility	NOUN
ajfa-525	233	4	may	may	AUX
ajfa-525	233	5	arise	arise	VERB
ajfa-525	233	6	from	from	ADP
ajfa-525	233	7	the	the	DET
ajfa-525	233	8	fact	fact	NOUN
ajfa-525	233	9	that	that	SCONJ
ajfa-525	233	10	most	most	ADJ
ajfa-525	233	11	holidays	holiday	NOUN
ajfa-525	233	12	in	in	ADP
ajfa-525	233	13	thailand	thailand	PROPN
ajfa-525	233	14	are	be	AUX
ajfa-525	233	15	not	not	PART
ajfa-525	233	16	the	the	DET
ajfa-525	233	17	same	same	ADJ
ajfa-525	233	18	as	as	ADP
ajfa-525	233	19	those	those	PRON
ajfa-525	233	20	in	in	ADP
ajfa-525	233	21	the	the	DET
ajfa-525	233	22	other	other	ADJ
ajfa-525	233	23	countries	country	NOUN
ajfa-525	233	24	.	.	PUNCT
ajfa-525	234	1	there	there	PRON
ajfa-525	234	2	is	be	VERB
ajfa-525	234	3	only	only	ADV
ajfa-525	234	4	the	the	DET
ajfa-525	234	5	new	new	ADJ
ajfa-525	234	6	year	year	NOUN
ajfa-525	234	7	holiday	holiday	NOUN
ajfa-525	234	8	which	which	PRON
ajfa-525	234	9	is	be	AUX
ajfa-525	234	10	a	a	DET
ajfa-525	234	11	holiday	holiday	NOUN
ajfa-525	234	12	for	for	ADP
ajfa-525	234	13	all	all	DET
ajfa-525	234	14	countries	country	NOUN
ajfa-525	234	15	including	include	VERB
ajfa-525	234	16	thailand	thailand	PROPN
ajfa-525	234	17	.	.	PUNCT
ajfa-525	235	1	this	this	PRON
ajfa-525	235	2	may	may	AUX
ajfa-525	235	3	create	create	VERB
ajfa-525	235	4	uncertainty	uncertainty	NOUN
ajfa-525	235	5	in	in	ADP
ajfa-525	235	6	investors	investor	NOUN
ajfa-525	235	7	as	as	SCONJ
ajfa-525	235	8	it	it	PRON
ajfa-525	235	9	is	be	AUX
ajfa-525	235	10	unpredictable	unpredictable	ADJ
ajfa-525	235	11	as	as	ADP
ajfa-525	235	12	to	to	ADP
ajfa-525	235	13	what	what	PRON
ajfa-525	235	14	will	will	AUX
ajfa-525	235	15	happen	happen	VERB
ajfa-525	235	16	to	to	ADP
ajfa-525	235	17	global	global	ADJ
ajfa-525	235	18	markets	market	NOUN
ajfa-525	235	19	during	during	ADP
ajfa-525	235	20	the	the	DET
ajfa-525	235	21	market	market	NOUN
ajfa-525	235	22	closure	closure	NOUN
ajfa-525	235	23	on	on	ADP
ajfa-525	235	24	thai	thai	ADJ
ajfa-525	235	25	holidays	holiday	NOUN
ajfa-525	235	26	.	.	PUNCT
ajfa-525	236	1	furthermore	furthermore	ADV
ajfa-525	236	2	,	,	PUNCT
ajfa-525	236	3	the	the	DET
ajfa-525	236	4	preholiday	preholiday	NOUN
ajfa-525	236	5	returns	return	NOUN
ajfa-525	236	6	are	be	AUX
ajfa-525	236	7	higher	high	ADJ
ajfa-525	236	8	for	for	ADP
ajfa-525	236	9	the	the	DET
ajfa-525	236	10	long	long	ADJ
ajfa-525	236	11	holiday	holiday	NOUN
ajfa-525	236	12	periods	period	NOUN
ajfa-525	236	13	.	.	PUNCT
ajfa-525	237	1	only	only	ADV
ajfa-525	237	2	the	the	DET
ajfa-525	237	3	preholiday	preholiday	NOUN
ajfa-525	237	4	with	with	ADP
ajfa-525	237	5	more	more	ADJ
ajfa-525	237	6	than	than	ADP
ajfa-525	237	7	two	two	NUM
ajfa-525	237	8	days	day	NOUN
ajfa-525	237	9	show	show	VERB
ajfa-525	237	10	statistically	statistically	ADV
ajfa-525	237	11	significantly	significantly	ADV
ajfa-525	237	12	higher	high	ADJ
ajfa-525	237	13	returns	return	NOUN
ajfa-525	237	14	compared	compare	VERB
ajfa-525	237	15	to	to	ADP
ajfa-525	237	16	those	those	PRON
ajfa-525	237	17	during	during	ADP
ajfa-525	237	18	non	non	ADJ
ajfa-525	237	19	-	-	ADJ
ajfa-525	237	20	preholiday	preholiday	ADJ
ajfa-525	237	21	periods	period	NOUN
ajfa-525	237	22	while	while	SCONJ
ajfa-525	237	23	the	the	DET
ajfa-525	237	24	preholiday	preholiday	NOUN
ajfa-525	237	25	periods	period	VERB
ajfa-525	237	26	with	with	ADP
ajfa-525	237	27	one	one	NUM
ajfa-525	237	28	to	to	PART
ajfa-525	237	29	two	two	NUM
ajfa-525	237	30	days	day	NOUN
ajfa-525	237	31	show	show	VERB
ajfa-525	237	32	higher	high	ADJ
ajfa-525	237	33	returns	return	NOUN
ajfa-525	237	34	that	that	PRON
ajfa-525	237	35	are	be	AUX
ajfa-525	237	36	not	not	PART
ajfa-525	237	37	statistically	statistically	ADV
ajfa-525	237	38	significant	significant	ADJ
ajfa-525	237	39	.	.	PUNCT
ajfa-525	238	1	after	after	ADP
ajfa-525	238	2	distinguishing	distinguish	VERB
ajfa-525	238	3	between	between	ADP
ajfa-525	238	4	state	state	NOUN
ajfa-525	238	5	and	and	CCONJ
ajfa-525	238	6	cultural	cultural	ADJ
ajfa-525	238	7	holidays	holiday	NOUN
ajfa-525	238	8	,	,	PUNCT
ajfa-525	238	9	only	only	ADV
ajfa-525	238	10	state	state	NOUN
ajfa-525	238	11	holidays	holiday	NOUN
ajfa-525	238	12	show	show	VERB
ajfa-525	238	13	statistically	statistically	ADV
ajfa-525	238	14	significantly	significantly	ADV
ajfa-525	238	15	higher	high	ADJ
ajfa-525	238	16	returns	return	NOUN
ajfa-525	238	17	compared	compare	VERB
ajfa-525	238	18	to	to	ADP
ajfa-525	238	19	those	those	PRON
ajfa-525	238	20	during	during	ADP
ajfa-525	238	21	nonpreholiday	nonpreholiday	NOUN
ajfa-525	238	22	periods	period	NOUN
ajfa-525	238	23	while	while	SCONJ
ajfa-525	238	24	the	the	DET
ajfa-525	238	25	returns	return	NOUN
ajfa-525	238	26	during	during	ADP
ajfa-525	238	27	cultural	cultural	ADJ
ajfa-525	238	28	holidays	holiday	NOUN
ajfa-525	238	29	are	be	AUX
ajfa-525	238	30	not	not	PART
ajfa-525	238	31	statistically	statistically	ADV
ajfa-525	238	32	significantly	significantly	ADV
ajfa-525	238	33	higher	high	ADJ
ajfa-525	238	34	.	.	PUNCT
ajfa-525	239	1	however	however	ADV
ajfa-525	239	2	,	,	PUNCT
ajfa-525	239	3	there	there	PRON
ajfa-525	239	4	is	be	VERB
ajfa-525	239	5	no	no	DET
ajfa-525	239	6	statistical	statistical	ADJ
ajfa-525	239	7	difference	difference	NOUN
ajfa-525	239	8	between	between	ADP
ajfa-525	239	9	preholiday	preholiday	NOUN
ajfa-525	239	10	returns	return	NOUN
ajfa-525	239	11	between	between	ADP
ajfa-525	239	12	state	state	NOUN
ajfa-525	239	13	and	and	CCONJ
ajfa-525	239	14	cultural	cultural	ADJ
ajfa-525	239	15	holidays	holiday	NOUN
ajfa-525	239	16	.	.	PUNCT
ajfa-525	240	1	further	far	ADV
ajfa-525	240	2	,	,	PUNCT
ajfa-525	240	3	the	the	DET
ajfa-525	240	4	asian	asian	ADJ
ajfa-525	240	5	crisis	crisis	NOUN
ajfa-525	240	6	has	have	VERB
ajfa-525	240	7	similar	similar	ADJ
ajfa-525	240	8	effects	effect	NOUN
ajfa-525	240	9	on	on	ADP
ajfa-525	240	10	returns	return	NOUN
ajfa-525	240	11	during	during	ADP
ajfa-525	240	12	preholiday	preholiday	NOUN
ajfa-525	240	13	and	and	CCONJ
ajfa-525	240	14	cultural	cultural	ADJ
ajfa-525	240	15	holiday	holiday	NOUN
ajfa-525	240	16	periods	period	NOUN
ajfa-525	240	17	.	.	PUNCT
ajfa-525	241	1	however	however	ADV
ajfa-525	241	2	.	.	PUNCT
ajfa-525	242	1	there	there	PRON
ajfa-525	242	2	are	be	VERB
ajfa-525	242	3	abnormal	abnormal	ADJ
ajfa-525	242	4	returns	return	NOUN
ajfa-525	242	5	and	and	CCONJ
ajfa-525	242	6	higher	high	ADJ
ajfa-525	242	7	volatility	volatility	NOUN
ajfa-525	242	8	during	during	ADP
ajfa-525	242	9	preholiday	preholiday	NOUN
ajfa-525	242	10	periods	period	NOUN
ajfa-525	242	11	.	.	PUNCT
ajfa-525	243	1	the	the	DET
ajfa-525	243	2	abnormal	abnormal	ADJ
ajfa-525	243	3	preholiday	preholiday	NOUN
ajfa-525	243	4	returns	return	NOUN
ajfa-525	243	5	exist	exist	VERB
ajfa-525	243	6	in	in	ADP
ajfa-525	243	7	thailand	thailand	PROPN
ajfa-525	243	8	,	,	PUNCT
ajfa-525	243	9	especially	especially	ADV
ajfa-525	243	10	for	for	ADP
ajfa-525	243	11	state	state	NOUN
ajfa-525	243	12	holidays	holiday	NOUN
ajfa-525	243	13	and	and	CCONJ
ajfa-525	243	14	holidays	holiday	NOUN
ajfa-525	243	15	with	with	ADP
ajfa-525	243	16	more	more	ADJ
ajfa-525	243	17	than	than	ADP
ajfa-525	243	18	two	two	NUM
ajfa-525	243	19	days	day	NOUN
ajfa-525	243	20	.	.	PUNCT
ajfa-525	244	1	however	however	ADV
ajfa-525	244	2	,	,	PUNCT
ajfa-525	244	3	the	the	DET
ajfa-525	244	4	magnitude	magnitude	NOUN
ajfa-525	244	5	of	of	ADP
ajfa-525	244	6	these	these	DET
ajfa-525	244	7	abnormal	abnormal	ADJ
ajfa-525	244	8	preholiday	preholiday	NOUN
ajfa-525	244	9	returns	return	NOUN
ajfa-525	244	10	is	be	AUX
ajfa-525	244	11	too	too	ADV
ajfa-525	244	12	small	small	ADJ
ajfa-525	244	13	to	to	PART
ajfa-525	244	14	take	take	VERB
ajfa-525	244	15	advantage	advantage	NOUN
ajfa-525	244	16	of	of	ADP
ajfa-525	244	17	for	for	ADP
ajfa-525	244	18	making	make	VERB
ajfa-525	244	19	profits	profit	NOUN
ajfa-525	244	20	because	because	SCONJ
ajfa-525	244	21	the	the	DET
ajfa-525	244	22	transaction	transaction	NOUN
ajfa-525	244	23	costs	cost	NOUN
ajfa-525	244	24	of	of	ADP
ajfa-525	244	25	0.83	0.83	NUM
ajfa-525	244	26	%	%	NOUN
ajfa-525	244	27	coming	come	VERB
ajfa-525	244	28	from	from	ADP
ajfa-525	244	29	the	the	DET
ajfa-525	244	30	minimum	minimum	ADJ
ajfa-525	244	31	standard	standard	ADJ
ajfa-525	244	32	roundtrip	roundtrip	PROPN
ajfa-525	244	33	commission	commission	NOUN
ajfa-525	244	34	fees	fee	NOUN
ajfa-525	244	35	in	in	ADP
ajfa-525	244	36	thai	thai	PROPN
ajfa-525	244	37	stock	stock	NOUN
ajfa-525	244	38	market	market	NOUN
ajfa-525	244	39	at	at	ADP
ajfa-525	244	40	0.3	0.3	NUM
ajfa-525	244	41	%	%	NOUN
ajfa-525	244	42	and	and	CCONJ
ajfa-525	244	43	the	the	DET
ajfa-525	244	44	average	average	ADJ
ajfa-525	244	45	bid	bid	NOUN
ajfa-525	244	46	-	-	PUNCT
ajfa-525	244	47	ask	ask	NOUN
ajfa-525	244	48	spread	spread	NOUN
ajfa-525	244	49	computed	compute	VERB
ajfa-525	244	50	from	from	ADP
ajfa-525	244	51	the	the	DET
ajfa-525	244	52	tick	tick	NOUN
ajfa-525	244	53	size	size	NOUN
ajfa-525	244	54	at	at	ADP
ajfa-525	244	55	around	around	ADV
ajfa-525	244	56	0.53	0.53	NUM
ajfa-525	244	57	%	%	NOUN
ajfa-525	244	58	.	.	PUNCT
ajfa-525	245	1	moreover	moreover	ADV
ajfa-525	245	2	,	,	PUNCT
ajfa-525	245	3	investing	invest	VERB
ajfa-525	245	4	during	during	ADP
ajfa-525	245	5	preholiday	preholiday	NOUN
ajfa-525	245	6	comes	come	VERB
ajfa-525	245	7	with	with	ADP
ajfa-525	245	8	higher	high	ADJ
ajfa-525	245	9	volatility	volatility	NOUN
ajfa-525	245	10	,	,	PUNCT
ajfa-525	245	11	implying	imply	VERB
ajfa-525	245	12	higher	high	ADJ
ajfa-525	245	13	risks	risk	NOUN
ajfa-525	245	14	.	.	PUNCT
ajfa-525	246	1	therefore	therefore	ADV
ajfa-525	246	2	,	,	PUNCT
ajfa-525	246	3	it	it	PRON
ajfa-525	246	4	is	be	AUX
ajfa-525	246	5	questionable	questionable	ADJ
ajfa-525	246	6	that	that	SCONJ
ajfa-525	246	7	the	the	DET
ajfa-525	246	8	preholiday	preholiday	NOUN
ajfa-525	246	9	returns	return	NOUN
ajfa-525	246	10	are	be	AUX
ajfa-525	246	11	really	really	ADV
ajfa-525	246	12	profitable	profitable	ADJ
ajfa-525	246	13	rational	rational	ADJ
ajfa-525	246	14	risk	risk	NOUN
ajfa-525	246	15	-	-	PUNCT
ajfa-525	246	16	averse	averse	ADJ
ajfa-525	246	17	investors	investor	NOUN
ajfa-525	246	18	.	.	PUNCT
ajfa-525	247	1	even	even	ADV
ajfa-525	247	2	though	though	SCONJ
ajfa-525	247	3	it	it	PRON
ajfa-525	247	4	is	be	AUX
ajfa-525	247	5	difficult	difficult	ADJ
ajfa-525	247	6	to	to	PART
ajfa-525	247	7	exploit	exploit	VERB
ajfa-525	247	8	these	these	DET
ajfa-525	247	9	preholiday	preholiday	NOUN
ajfa-525	247	10	returns	return	NOUN
ajfa-525	247	11	,	,	PUNCT
ajfa-525	247	12	the	the	DET
ajfa-525	247	13	evidence	evidence	NOUN
ajfa-525	247	14	of	of	ADP
ajfa-525	247	15	the	the	DET
ajfa-525	247	16	existence	existence	NOUN
ajfa-525	247	17	of	of	ADP
ajfa-525	247	18	preholiday	preholiday	PROPN
ajfa-525	247	19	abnormal	abnormal	ADJ
ajfa-525	247	20	returns	return	NOUN
ajfa-525	247	21	could	could	AUX
ajfa-525	247	22	give	give	VERB
ajfa-525	247	23	a	a	DET
ajfa-525	247	24	clue	clue	NOUN
ajfa-525	247	25	to	to	ADP
ajfa-525	247	26	investors	investor	NOUN
ajfa-525	247	27	on	on	ADP
ajfa-525	247	28	the	the	DET
ajfa-525	247	29	timing	timing	NOUN
ajfa-525	247	30	of	of	ADP
ajfa-525	247	31	investments	investment	NOUN
ajfa-525	247	32	.	.	PUNCT
ajfa-525	248	1	furthermore	furthermore	ADV
ajfa-525	248	2	,	,	PUNCT
ajfa-525	248	3	the	the	DET
ajfa-525	248	4	higher	high	ADJ
ajfa-525	248	5	preholiday	preholiday	NOUN
ajfa-525	248	6	volatility	volatility	NOUN
ajfa-525	248	7	reflects	reflect	VERB
ajfa-525	248	8	investors	investor	NOUN
ajfa-525	248	9	’	’	PART
ajfa-525	248	10	behavior	behavior	NOUN
ajfa-525	248	11	during	during	ADP
ajfa-525	248	12	market	market	NOUN
ajfa-525	248	13	closure	closure	NOUN
ajfa-525	248	14	on	on	ADP
ajfa-525	248	15	thai	thai	ADJ
ajfa-525	248	16	holidays	holiday	NOUN
ajfa-525	248	17	,	,	PUNCT
ajfa-525	248	18	which	which	PRON
ajfa-525	248	19	can	can	AUX
ajfa-525	248	20	create	create	VERB
ajfa-525	248	21	abnormal	abnormal	ADJ
ajfa-525	248	22	buying	buying	NOUN
ajfa-525	248	23	and	and	CCONJ
ajfa-525	248	24	selling	sell	VERB
ajfa-525	248	25	activities	activity	NOUN
ajfa-525	248	26	during	during	ADP
ajfa-525	248	27	preholiday	preholiday	NOUN
ajfa-525	248	28	trading	trading	NOUN
ajfa-525	248	29	days	day	NOUN
ajfa-525	248	30	.	.	PUNCT
ajfa-525	249	1	references	reference	NOUN
ajfa-525	249	2	akgiray	akgiray	VERB
ajfa-525	249	3	,	,	PUNCT
ajfa-525	249	4	v.	v.	PROPN
ajfa-525	249	5	(	(	PUNCT
ajfa-525	249	6	1989	1989	NUM
ajfa-525	249	7	)	)	PUNCT
ajfa-525	249	8	.	.	PUNCT
ajfa-525	250	1	conditional	conditional	ADJ
ajfa-525	250	2	heteroscedasticity	heteroscedasticity	NOUN
ajfa-525	250	3	in	in	ADP
ajfa-525	250	4	time	time	NOUN
ajfa-525	250	5	series	series	NOUN
ajfa-525	250	6	of	of	ADP
ajfa-525	250	7	stock	stock	NOUN
ajfa-525	250	8	returns	return	NOUN
ajfa-525	250	9	:	:	PUNCT
ajfa-525	250	10	evidence	evidence	NOUN
ajfa-525	250	11	and	and	CCONJ
ajfa-525	250	12	forecasts	forecast	NOUN
ajfa-525	250	13	.	.	PUNCT
ajfa-525	251	1	the	the	DET
ajfa-525	251	2	journal	journal	NOUN
ajfa-525	251	3	of	of	ADP
ajfa-525	251	4	business	business	NOUN
ajfa-525	251	5	,	,	PUNCT
ajfa-525	251	6	62	62	NUM
ajfa-525	251	7	,	,	PUNCT
ajfa-525	251	8	55	55	NUM
ajfa-525	251	9	-	-	SYM
ajfa-525	251	10	80	80	NUM
ajfa-525	251	11	.	.	PUNCT
ajfa-525	252	1	ariel	ariel	PROPN
ajfa-525	252	2	,	,	PUNCT
ajfa-525	252	3	r.	r.	PROPN
ajfa-525	252	4	a.	a.	PROPN
ajfa-525	252	5	(	(	PUNCT
ajfa-525	252	6	1990	1990	NUM
ajfa-525	252	7	)	)	PUNCT
ajfa-525	252	8	.	.	PUNCT
ajfa-525	253	1	high	high	ADJ
ajfa-525	253	2	stock	stock	NOUN
ajfa-525	253	3	returns	return	NOUN
ajfa-525	253	4	before	before	ADP
ajfa-525	253	5	holidays	holiday	NOUN
ajfa-525	253	6	:	:	PUNCT
ajfa-525	253	7	existence	existence	NOUN
ajfa-525	253	8	and	and	CCONJ
ajfa-525	253	9	evidence	evidence	NOUN
ajfa-525	253	10	on	on	ADP
ajfa-525	253	11	possible	possible	ADJ
ajfa-525	253	12	causes	cause	NOUN
ajfa-525	253	13	.	.	PUNCT
ajfa-525	254	1	the	the	DET
ajfa-525	254	2	journal	journal	NOUN
ajfa-525	254	3	of	of	ADP
ajfa-525	254	4	finance	finance	NOUN
ajfa-525	254	5	,	,	PUNCT
ajfa-525	254	6	45	45	NUM
ajfa-525	254	7	,	,	PUNCT
ajfa-525	254	8	1611	1611	NUM
ajfa-525	254	9	-	-	SYM
ajfa-525	254	10	1626	1626	NUM
ajfa-525	254	11	.	.	PUNCT
ajfa-525	255	1	asian	asian	ADJ
ajfa-525	255	2	 	 	SPACE
ajfa-525	255	3	journal	journal	NOUN
ajfa-525	255	4	 	 	SPACE
ajfa-525	255	5	of	of	ADP
ajfa-525	255	6	 	 	SPACE
ajfa-525	255	7	finance	finance	NOUN
ajfa-525	255	8	 	 	SPACE
ajfa-525	255	9	&	&	CCONJ
ajfa-525	255	10	 	 	SPACE
ajfa-525	255	11	accounting	account	VERB
ajfa-525	255	12	  	  	SPACE
ajfa-525	255	13	issn	issn	PROPN
ajfa-525	255	14	 	 	SPACE
ajfa-525	255	15	1946-­‐052x	1946-­‐052x	NOUN
ajfa-525	255	16	  	  	SPACE
ajfa-525	255	17	2010	2010	NUM
ajfa-525	255	18	,	,	PUNCT
ajfa-525	255	19	 	 	SPACE
ajfa-525	255	20	vol	vol	NOUN
ajfa-525	255	21	.	.	PUNCT
ajfa-525	255	22	 	 	SPACE
ajfa-525	255	23	2	2	NUM
ajfa-525	255	24	,	,	PUNCT
ajfa-525	255	25	 	 	SPACE
ajfa-525	255	26	no	no	INTJ
ajfa-525	255	27	.	.	PUNCT
ajfa-525	255	28	 	 	SPACE
ajfa-525	255	29	2	2	NUM
ajfa-525	255	30	,	,	PUNCT
ajfa-525	255	31	   	   	SPACE
ajfa-525	255	32	x	x	NOUN
ajfa-525	255	33	:	:	PUNCT
ajfa-525	255	34	 	 	SPACE
ajfa-525	255	35	e3	e3	VERB
ajfa-525	255	36	      	      	SPACE
ajfa-525	255	37	54	54	NUM
ajfa-525	255	38	  	  	SPACE
ajfa-525	255	39	www.macrothink.org/ajfa	www.macrothink.org/ajfa	AUX
ajfa-525	255	40	  	  	SPACE
ajfa-525	255	41	black	black	ADJ
ajfa-525	255	42	,	,	PUNCT
ajfa-525	255	43	f.	f.	PROPN
ajfa-525	255	44	(	(	PUNCT
ajfa-525	255	45	1972	1972	NUM
ajfa-525	255	46	)	)	PUNCT
ajfa-525	255	47	.	.	PUNCT
ajfa-525	256	1	capital	capital	NOUN
ajfa-525	256	2	market	market	NOUN
ajfa-525	256	3	equilibrium	equilibrium	NOUN
ajfa-525	256	4	with	with	ADP
ajfa-525	256	5	restricted	restricted	ADJ
ajfa-525	256	6	borrowing	borrowing	NOUN
ajfa-525	256	7	.	.	PUNCT
ajfa-525	257	1	journal	journal	PROPN
ajfa-525	257	2	of	of	ADP
ajfa-525	257	3	business	business	NOUN
ajfa-525	257	4	,	,	PUNCT
ajfa-525	257	5	45	45	NUM
ajfa-525	257	6	,	,	PUNCT
ajfa-525	257	7	444	444	NUM
ajfa-525	257	8	-	-	SYM
ajfa-525	257	9	454	454	NUM
ajfa-525	257	10	.	.	PUNCT
ajfa-525	257	11	bollerslev	bollerslev	PROPN
ajfa-525	257	12	,	,	PUNCT
ajfa-525	257	13	t.	t.	PROPN
ajfa-525	257	14	(	(	PUNCT
ajfa-525	257	15	1986	1986	NUM
ajfa-525	257	16	)	)	PUNCT
ajfa-525	257	17	.	.	PUNCT
ajfa-525	258	1	generalized	generalize	VERB
ajfa-525	258	2	autoregressive	autoregressive	ADJ
ajfa-525	258	3	conditional	conditional	ADJ
ajfa-525	258	4	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	258	5	.	.	PUNCT
ajfa-525	259	1	journal	journal	PROPN
ajfa-525	259	2	of	of	ADP
ajfa-525	259	3	econometrics	econometric	NOUN
ajfa-525	259	4	,	,	PUNCT
ajfa-525	259	5	31	31	NUM
ajfa-525	259	6	,	,	PUNCT
ajfa-525	259	7	307	307	NUM
ajfa-525	259	8	-	-	SYM
ajfa-525	259	9	327	327	NUM
ajfa-525	259	10	.	.	PUNCT
ajfa-525	260	1	box	box	PROPN
ajfa-525	260	2	,	,	PUNCT
ajfa-525	260	3	g.	g.	PROPN
ajfa-525	260	4	e.	e.	PROPN
ajfa-525	260	5	,	,	PUNCT
ajfa-525	260	6	&	&	CCONJ
ajfa-525	260	7	tiao	tiao	PROPN
ajfa-525	260	8	,	,	PUNCT
ajfa-525	260	9	g.	g.	PROPN
ajfa-525	260	10	c.	c.	PROPN
ajfa-525	260	11	(	(	PUNCT
ajfa-525	260	12	1973	1973	NUM
ajfa-525	260	13	)	)	PUNCT
ajfa-525	260	14	.	.	PUNCT
ajfa-525	261	1	bayesian	bayesian	NOUN
ajfa-525	261	2	inference	inference	NOUN
ajfa-525	261	3	in	in	ADP
ajfa-525	261	4	statistical	statistical	ADJ
ajfa-525	261	5	analysis	analysis	NOUN
ajfa-525	261	6	.	.	PUNCT
ajfa-525	262	1	reading	reading	NOUN
ajfa-525	262	2	,	,	PUNCT
ajfa-525	262	3	ma	ma	PROPN
ajfa-525	262	4	:	:	PUNCT
ajfa-525	262	5	addison	addison	PROPN
ajfa-525	262	6	-	-	PUNCT
ajfa-525	262	7	wesley	wesley	PROPN
ajfa-525	262	8	publishing	publishing	PROPN
ajfa-525	262	9	co.	co.	PROPN
ajfa-525	262	10	chan	chan	PROPN
ajfa-525	262	11	,	,	PUNCT
ajfa-525	262	12	m.	m.	PROPN
ajfa-525	262	13	w.	w.	PROPN
ajfa-525	262	14	l.	l.	PROPN
ajfa-525	262	15	,	,	PUNCT
ajfa-525	262	16	khanthavit	khanthavit	PROPN
ajfa-525	262	17	,	,	PUNCT
ajfa-525	262	18	a.	a.	PROPN
ajfa-525	262	19	,	,	PUNCT
ajfa-525	262	20	&	&	CCONJ
ajfa-525	262	21	thomas	thomas	PROPN
ajfa-525	262	22	,	,	PUNCT
ajfa-525	262	23	h.	h.	PROPN
ajfa-525	262	24	(	(	PUNCT
ajfa-525	262	25	1996	1996	NUM
ajfa-525	262	26	)	)	PUNCT
ajfa-525	262	27	.	.	PUNCT
ajfa-525	263	1	seasonality	seasonality	NOUN
ajfa-525	263	2	and	and	CCONJ
ajfa-525	263	3	cultural	cultural	ADJ
ajfa-525	263	4	influences	influence	NOUN
ajfa-525	263	5	on	on	ADP
ajfa-525	263	6	four	four	NUM
ajfa-525	263	7	asian	asian	ADJ
ajfa-525	263	8	stock	stock	NOUN
ajfa-525	263	9	markets	market	NOUN
ajfa-525	263	10	.	.	PUNCT
ajfa-525	264	1	asia	asia	PROPN
ajfa-525	264	2	pacific	pacific	PROPN
ajfa-525	264	3	journal	journal	PROPN
ajfa-525	264	4	of	of	ADP
ajfa-525	264	5	management	management	NOUN
ajfa-525	264	6	,	,	PUNCT
ajfa-525	264	7	13	13	NUM
ajfa-525	264	8	,	,	PUNCT
ajfa-525	264	9	1	1	NUM
ajfa-525	264	10	-	-	SYM
ajfa-525	264	11	24	24	NUM
ajfa-525	264	12	.	.	PUNCT
ajfa-525	265	1	engle	engle	PROPN
ajfa-525	265	2	,	,	PUNCT
ajfa-525	265	3	r.	r.	PROPN
ajfa-525	265	4	(	(	PUNCT
ajfa-525	265	5	1982	1982	NUM
ajfa-525	265	6	)	)	PUNCT
ajfa-525	265	7	.	.	PUNCT
ajfa-525	266	1	autoregressive	autoregressive	ADJ
ajfa-525	266	2	conditional	conditional	ADJ
ajfa-525	266	3	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	266	4	with	with	ADP
ajfa-525	266	5	estimates	estimate	NOUN
ajfa-525	266	6	of	of	ADP
ajfa-525	266	7	the	the	DET
ajfa-525	266	8	variance	variance	NOUN
ajfa-525	266	9	of	of	ADP
ajfa-525	266	10	u.k	u.k	PROPN
ajfa-525	266	11	.	.	PROPN
ajfa-525	266	12	inflation	inflation	NOUN
ajfa-525	266	13	.	.	PUNCT
ajfa-525	267	1	econometrica	econometrica	PROPN
ajfa-525	267	2	,	,	PUNCT
ajfa-525	267	3	50	50	NUM
ajfa-525	267	4	,	,	PUNCT
ajfa-525	267	5	987	987	NUM
ajfa-525	267	6	-	-	SYM
ajfa-525	267	7	1008	1008	NUM
ajfa-525	267	8	.	.	PUNCT
ajfa-525	268	1	engle	engle	PROPN
ajfa-525	268	2	,	,	PUNCT
ajfa-525	268	3	r.	r.	PROPN
ajfa-525	268	4	f.	f.	PROPN
ajfa-525	268	5	,	,	PUNCT
ajfa-525	268	6	lilien	lilien	PROPN
ajfa-525	268	7	,	,	PUNCT
ajfa-525	268	8	d.	d.	PROPN
ajfa-525	268	9	m.	m.	PROPN
ajfa-525	268	10	,	,	PUNCT
ajfa-525	268	11	&	&	CCONJ
ajfa-525	268	12	robins	robins	PROPN
ajfa-525	268	13	,	,	PUNCT
ajfa-525	268	14	r.	r.	PROPN
ajfa-525	268	15	p.	p.	PROPN
ajfa-525	268	16	(	(	PUNCT
ajfa-525	268	17	1987	1987	NUM
ajfa-525	268	18	)	)	PUNCT
ajfa-525	268	19	.	.	PUNCT
ajfa-525	269	1	estimating	estimate	VERB
ajfa-525	269	2	time	time	NOUN
ajfa-525	269	3	varying	vary	VERB
ajfa-525	269	4	risk	risk	NOUN
ajfa-525	269	5	premia	premia	NOUN
ajfa-525	269	6	in	in	ADP
ajfa-525	269	7	the	the	DET
ajfa-525	269	8	term	term	NOUN
ajfa-525	269	9	structure	structure	NOUN
ajfa-525	269	10	:	:	PUNCT
ajfa-525	269	11	the	the	DET
ajfa-525	269	12	arch	arch	ADJ
ajfa-525	269	13	-	-	PUNCT
ajfa-525	269	14	m	m	PROPN
ajfa-525	269	15	model	model	NOUN
ajfa-525	269	16	.	.	PUNCT
ajfa-525	270	1	econometrica	econometrica	PROPN
ajfa-525	270	2	,	,	PUNCT
ajfa-525	270	3	55	55	NUM
ajfa-525	270	4	,	,	PUNCT
ajfa-525	270	5	391	391	NUM
ajfa-525	270	6	-	-	SYM
ajfa-525	270	7	407	407	NUM
ajfa-525	270	8	.	.	PUNCT
ajfa-525	271	1	french	french	PROPN
ajfa-525	271	2	,	,	PUNCT
ajfa-525	271	3	k.	k.	PROPN
ajfa-525	271	4	(	(	PUNCT
ajfa-525	271	5	1980	1980	NUM
ajfa-525	271	6	)	)	PUNCT
ajfa-525	271	7	.	.	PUNCT
ajfa-525	272	1	stock	stock	NOUN
ajfa-525	272	2	returns	return	NOUN
ajfa-525	272	3	and	and	CCONJ
ajfa-525	272	4	the	the	DET
ajfa-525	272	5	weekend	weekend	NOUN
ajfa-525	272	6	effect	effect	NOUN
ajfa-525	272	7	.	.	PUNCT
ajfa-525	273	1	journal	journal	NOUN
ajfa-525	273	2	of	of	ADP
ajfa-525	273	3	financial	financial	ADJ
ajfa-525	273	4	economics	economic	NOUN
ajfa-525	273	5	,	,	PUNCT
ajfa-525	273	6	8(1	8(1	NOUN
ajfa-525	273	7	)	)	PUNCT
ajfa-525	273	8	,	,	PUNCT
ajfa-525	273	9	55	55	NUM
ajfa-525	273	10	-	-	SYM
ajfa-525	273	11	69	69	NUM
ajfa-525	273	12	.	.	PUNCT
ajfa-525	274	1	kiymaz	kiymaz	NOUN
ajfa-525	274	2	,	,	PUNCT
ajfa-525	274	3	h.	h.	PROPN
ajfa-525	274	4	,	,	PUNCT
ajfa-525	274	5	&	&	CCONJ
ajfa-525	274	6	berument	berument	PROPN
ajfa-525	274	7	,	,	PUNCT
ajfa-525	274	8	h.	h.	PROPN
ajfa-525	274	9	(	(	PUNCT
ajfa-525	274	10	2003	2003	NUM
ajfa-525	274	11	)	)	PUNCT
ajfa-525	274	12	.	.	PUNCT
ajfa-525	275	1	the	the	DET
ajfa-525	275	2	day	day	NOUN
ajfa-525	275	3	of	of	ADP
ajfa-525	275	4	the	the	DET
ajfa-525	275	5	week	week	NOUN
ajfa-525	275	6	effect	effect	NOUN
ajfa-525	275	7	on	on	ADP
ajfa-525	275	8	stock	stock	NOUN
ajfa-525	275	9	market	market	NOUN
ajfa-525	275	10	volatility	volatility	NOUN
ajfa-525	275	11	and	and	CCONJ
ajfa-525	275	12	volume	volume	NOUN
ajfa-525	275	13	:	:	PUNCT
ajfa-525	275	14	international	international	ADJ
ajfa-525	275	15	evidence	evidence	NOUN
ajfa-525	275	16	review	review	NOUN
ajfa-525	275	17	of	of	ADP
ajfa-525	275	18	financial	financial	ADJ
ajfa-525	275	19	economics	economic	NOUN
ajfa-525	275	20	,	,	PUNCT
ajfa-525	275	21	12	12	NUM
ajfa-525	275	22	,	,	PUNCT
ajfa-525	275	23	363	363	NUM
ajfa-525	275	24	-	-	SYM
ajfa-525	275	25	380	380	NUM
ajfa-525	275	26	.	.	PUNCT
ajfa-525	276	1	lakonishok	lakonishok	PROPN
ajfa-525	276	2	,	,	PUNCT
ajfa-525	276	3	j.	j.	PROPN
ajfa-525	276	4	,	,	PUNCT
ajfa-525	276	5	&	&	CCONJ
ajfa-525	276	6	smidt	smidt	PROPN
ajfa-525	276	7	,	,	PUNCT
ajfa-525	276	8	s.	s.	PROPN
ajfa-525	276	9	(	(	PUNCT
ajfa-525	276	10	1984	1984	NUM
ajfa-525	276	11	)	)	PUNCT
ajfa-525	276	12	.	.	PUNCT
ajfa-525	277	1	volume	volume	NOUN
ajfa-525	277	2	and	and	CCONJ
ajfa-525	277	3	turn	turn	NOUN
ajfa-525	277	4	-	-	PUNCT
ajfa-525	277	5	of	of	ADP
ajfa-525	277	6	-	-	PUNCT
ajfa-525	277	7	the	the	DET
ajfa-525	277	8	-	-	PUNCT
ajfa-525	277	9	year	year	NOUN
ajfa-525	277	10	behavior	behavior	NOUN
ajfa-525	277	11	.	.	PUNCT
ajfa-525	278	1	journal	journal	PROPN
ajfa-525	278	2	of	of	ADP
ajfa-525	278	3	financial	financial	ADJ
ajfa-525	278	4	economics	economic	NOUN
ajfa-525	278	5	,	,	PUNCT
ajfa-525	278	6	13	13	NUM
ajfa-525	278	7	,	,	PUNCT
ajfa-525	278	8	435	435	NUM
ajfa-525	278	9	-	-	SYM
ajfa-525	278	10	456	456	NUM
ajfa-525	278	11	.	.	PUNCT
ajfa-525	279	1	lakonishok	lakonishok	PROPN
ajfa-525	279	2	,	,	PUNCT
ajfa-525	279	3	j.	j.	PROPN
ajfa-525	279	4	,	,	PUNCT
ajfa-525	279	5	&	&	CCONJ
ajfa-525	279	6	smidt	smidt	PROPN
ajfa-525	279	7	,	,	PUNCT
ajfa-525	279	8	s.	s.	PROPN
ajfa-525	279	9	(	(	PUNCT
ajfa-525	279	10	1988	1988	NUM
ajfa-525	279	11	)	)	PUNCT
ajfa-525	279	12	.	.	PUNCT
ajfa-525	280	1	are	be	AUX
ajfa-525	280	2	seasonal	seasonal	ADJ
ajfa-525	280	3	anomalies	anomaly	NOUN
ajfa-525	280	4	real	real	ADJ
ajfa-525	280	5	?	?	PUNCT
ajfa-525	281	1	a	a	DET
ajfa-525	281	2	ninety	ninety	NUM
ajfa-525	281	3	-	-	PUNCT
ajfa-525	281	4	year	year	NOUN
ajfa-525	281	5	perspective	perspective	NOUN
ajfa-525	281	6	.	.	PUNCT
ajfa-525	282	1	review	review	NOUN
ajfa-525	282	2	of	of	ADP
ajfa-525	282	3	financial	financial	ADJ
ajfa-525	282	4	studies	study	NOUN
ajfa-525	282	5	,	,	PUNCT
ajfa-525	282	6	1	1	NUM
ajfa-525	282	7	,	,	PUNCT
ajfa-525	282	8	403	403	NUM
ajfa-525	282	9	-	-	SYM
ajfa-525	282	10	425	425	NUM
ajfa-525	282	11	.	.	PUNCT
ajfa-525	282	12	lintner	lintner	PROPN
ajfa-525	282	13	,	,	PUNCT
ajfa-525	282	14	j.	j.	PROPN
ajfa-525	282	15	(	(	PUNCT
ajfa-525	282	16	1965	1965	NUM
ajfa-525	282	17	)	)	PUNCT
ajfa-525	282	18	.	.	PUNCT
ajfa-525	283	1	the	the	DET
ajfa-525	283	2	valuation	valuation	NOUN
ajfa-525	283	3	of	of	ADP
ajfa-525	283	4	risk	risk	NOUN
ajfa-525	283	5	assets	asset	NOUN
ajfa-525	283	6	and	and	CCONJ
ajfa-525	283	7	the	the	DET
ajfa-525	283	8	selection	selection	NOUN
ajfa-525	283	9	of	of	ADP
ajfa-525	283	10	risky	risky	ADJ
ajfa-525	283	11	investments	investment	NOUN
ajfa-525	283	12	in	in	ADP
ajfa-525	283	13	stock	stock	NOUN
ajfa-525	283	14	portfolios	portfolio	NOUN
ajfa-525	283	15	and	and	CCONJ
ajfa-525	283	16	capital	capital	NOUN
ajfa-525	283	17	budgets	budget	NOUN
ajfa-525	283	18	.	.	PUNCT
ajfa-525	284	1	review	review	NOUN
ajfa-525	284	2	of	of	ADP
ajfa-525	284	3	economics	economic	NOUN
ajfa-525	284	4	and	and	CCONJ
ajfa-525	284	5	statistics	statistic	NOUN
ajfa-525	284	6	,	,	PUNCT
ajfa-525	284	7	47	47	NUM
ajfa-525	284	8	,	,	PUNCT
ajfa-525	284	9	13	13	NUM
ajfa-525	284	10	-	-	SYM
ajfa-525	284	11	37	37	NUM
ajfa-525	284	12	.	.	PUNCT
ajfa-525	285	1	mossin	mossin	PROPN
ajfa-525	285	2	,	,	PUNCT
ajfa-525	285	3	j.	j.	PROPN
ajfa-525	285	4	(	(	PUNCT
ajfa-525	285	5	1986	1986	NUM
ajfa-525	285	6	)	)	PUNCT
ajfa-525	285	7	.	.	PUNCT
ajfa-525	286	1	equilibrium	equilibrium	NOUN
ajfa-525	286	2	in	in	ADP
ajfa-525	286	3	a	a	DET
ajfa-525	286	4	capital	capital	NOUN
ajfa-525	286	5	asset	asset	NOUN
ajfa-525	286	6	market	market	NOUN
ajfa-525	286	7	.	.	PUNCT
ajfa-525	287	1	econometrica	econometrica	PROPN
ajfa-525	287	2	,	,	PUNCT
ajfa-525	287	3	34(4	34(4	NUM
ajfa-525	287	4	)	)	PUNCT
ajfa-525	287	5	,	,	PUNCT
ajfa-525	287	6	768	768	NUM
ajfa-525	287	7	-	-	SYM
ajfa-525	287	8	783	783	NUM
ajfa-525	287	9	.	.	PUNCT
ajfa-525	288	1	nelson	nelson	PROPN
ajfa-525	288	2	,	,	PUNCT
ajfa-525	288	3	d.	d.	PROPN
ajfa-525	288	4	b.	b.	PROPN
ajfa-525	288	5	(	(	PUNCT
ajfa-525	288	6	1991	1991	NUM
ajfa-525	288	7	)	)	PUNCT
ajfa-525	288	8	.	.	PUNCT
ajfa-525	289	1	conditional	conditional	ADJ
ajfa-525	289	2	heteroskedasticity	heteroskedasticity	NOUN
ajfa-525	289	3	in	in	ADP
ajfa-525	289	4	asset	asset	NOUN
ajfa-525	289	5	returns	return	NOUN
ajfa-525	289	6	:	:	PUNCT
ajfa-525	289	7	a	a	DET
ajfa-525	289	8	new	new	ADJ
ajfa-525	289	9	approach	approach	NOUN
ajfa-525	289	10	.	.	PUNCT
ajfa-525	290	1	econometrica	econometrica	PROPN
ajfa-525	290	2	,	,	PUNCT
ajfa-525	290	3	59	59	NUM
ajfa-525	290	4	,	,	PUNCT
ajfa-525	290	5	347	347	NUM
ajfa-525	290	6	-	-	SYM
ajfa-525	290	7	370	370	NUM
ajfa-525	290	8	.	.	PUNCT
ajfa-525	291	1	picou	picou	PROPN
ajfa-525	291	2	,	,	PUNCT
ajfa-525	291	3	a.	a.	NOUN
ajfa-525	291	4	(	(	PUNCT
ajfa-525	291	5	2006	2006	NUM
ajfa-525	291	6	)	)	PUNCT
ajfa-525	291	7	.	.	PUNCT
ajfa-525	292	1	stock	stock	NOUN
ajfa-525	292	2	returns	return	NOUN
ajfa-525	292	3	behavior	behavior	NOUN
ajfa-525	292	4	during	during	ADP
ajfa-525	292	5	holiday	holiday	NOUN
ajfa-525	292	6	periods	period	NOUN
ajfa-525	292	7	:	:	PUNCT
ajfa-525	292	8	evidence	evidence	NOUN
ajfa-525	292	9	from	from	ADP
ajfa-525	292	10	six	six	NUM
ajfa-525	292	11	countries	country	NOUN
ajfa-525	292	12	.	.	PUNCT
ajfa-525	293	1	managerial	managerial	ADJ
ajfa-525	293	2	finance	finance	NOUN
ajfa-525	293	3	,	,	PUNCT
ajfa-525	293	4	32	32	NUM
ajfa-525	293	5	,	,	PUNCT
ajfa-525	293	6	433	433	NUM
ajfa-525	293	7	-	-	SYM
ajfa-525	293	8	445	445	NUM
ajfa-525	293	9	.	.	PUNCT
ajfa-525	294	1	rogalski	rogalski	PROPN
ajfa-525	294	2	,	,	PUNCT
ajfa-525	294	3	r.	r.	PROPN
ajfa-525	294	4	j.	j.	PROPN
ajfa-525	294	5	(	(	PUNCT
ajfa-525	294	6	1984	1984	NUM
ajfa-525	294	7	)	)	PUNCT
ajfa-525	294	8	.	.	PUNCT
ajfa-525	295	1	new	new	ADJ
ajfa-525	295	2	findings	finding	NOUN
ajfa-525	295	3	regarding	regard	VERB
ajfa-525	295	4	day	day	NOUN
ajfa-525	295	5	-	-	PUNCT
ajfa-525	295	6	of	of	ADP
ajfa-525	295	7	-	-	PUNCT
ajfa-525	295	8	the	the	DET
ajfa-525	295	9	-	-	PUNCT
ajfa-525	295	10	week	week	NOUN
ajfa-525	295	11	returns	return	NOUN
ajfa-525	295	12	over	over	ADP
ajfa-525	295	13	trading	trading	NOUN
ajfa-525	295	14	and	and	CCONJ
ajfa-525	295	15	...	...	PUNCT
ajfa-525	295	16	the	the	DET
ajfa-525	295	17	journal	journal	NOUN
ajfa-525	295	18	of	of	ADP
ajfa-525	295	19	finance	finance	NOUN
ajfa-525	295	20	,	,	PUNCT
ajfa-525	295	21	39	39	NUM
ajfa-525	295	22	,	,	PUNCT
ajfa-525	295	23	1603	1603	NUM
ajfa-525	295	24	-	-	SYM
ajfa-525	295	25	1614	1614	NUM
ajfa-525	295	26	.	.	PUNCT
ajfa-525	296	1	roll	roll	NOUN
ajfa-525	296	2	,	,	PUNCT
ajfa-525	296	3	r.	r.	PROPN
ajfa-525	296	4	(	(	PUNCT
ajfa-525	296	5	1983	1983	NUM
ajfa-525	296	6	)	)	PUNCT
ajfa-525	296	7	.	.	PUNCT
ajfa-525	297	1	vas	vas	PROPN
ajfa-525	297	2	ist	ist	PROPN
ajfa-525	297	3	das	das	PROPN
ajfa-525	297	4	?	?	PROPN
ajfa-525	297	5	journal	journal	PROPN
ajfa-525	297	6	of	of	ADP
ajfa-525	297	7	portfolio	portfolio	NOUN
ajfa-525	297	8	management	management	NOUN
ajfa-525	297	9	,	,	PUNCT
ajfa-525	297	10	9	9	NUM
ajfa-525	297	11	,	,	PUNCT
ajfa-525	297	12	18	18	NUM
ajfa-525	297	13	-	-	SYM
ajfa-525	297	14	28	28	NUM
ajfa-525	297	15	.	.	PUNCT
ajfa-525	298	1	seiler	seiler	PROPN
ajfa-525	298	2	,	,	PUNCT
ajfa-525	298	3	m.	m.	NOUN
ajfa-525	298	4	j.	j.	PROPN
ajfa-525	298	5	(	(	PUNCT
ajfa-525	298	6	1993	1993	NUM
ajfa-525	298	7	)	)	PUNCT
ajfa-525	298	8	.	.	PUNCT
ajfa-525	299	1	historical	historical	ADJ
ajfa-525	299	2	pre	pre	NOUN
ajfa-525	299	3	and	and	CCONJ
ajfa-525	299	4	post	post	VERB
ajfa-525	299	5	special	special	ADJ
ajfa-525	299	6	closing	closing	NOUN
ajfa-525	299	7	effects	effect	NOUN
ajfa-525	299	8	.	.	PUNCT
ajfa-525	300	1	studies	study	NOUN
ajfa-525	300	2	in	in	ADP
ajfa-525	300	3	economics	economic	NOUN
ajfa-525	300	4	and	and	CCONJ
ajfa-525	300	5	finance	finance	NOUN
ajfa-525	300	6	,	,	PUNCT
ajfa-525	300	7	18	18	NUM
ajfa-525	300	8	,	,	PUNCT
ajfa-525	300	9	59	59	NUM
ajfa-525	300	10	-	-	SYM
ajfa-525	300	11	73	73	NUM
ajfa-525	300	12	.	.	PUNCT
ajfa-525	301	1	sharpe	sharpe	PROPN
ajfa-525	301	2	,	,	PUNCT
ajfa-525	301	3	w.	w.	PROPN
ajfa-525	301	4	f.	f.	PROPN
ajfa-525	301	5	(	(	PUNCT
ajfa-525	301	6	1964	1964	NUM
ajfa-525	301	7	)	)	PUNCT
ajfa-525	301	8	.	.	PUNCT
ajfa-525	302	1	capital	capital	NOUN
ajfa-525	302	2	asset	asset	NOUN
ajfa-525	302	3	prices	price	NOUN
ajfa-525	302	4	:	:	PUNCT
ajfa-525	302	5	a	a	DET
ajfa-525	302	6	theory	theory	NOUN
ajfa-525	302	7	of	of	ADP
ajfa-525	302	8	market	market	NOUN
ajfa-525	302	9	equilibrium	equilibrium	NOUN
ajfa-525	302	10	under	under	ADP
ajfa-525	302	11	conditions	condition	NOUN
ajfa-525	302	12	of	of	ADP
ajfa-525	302	13	risk	risk	NOUN
ajfa-525	302	14	.	.	PUNCT
ajfa-525	303	1	journal	journal	NOUN
ajfa-525	303	2	of	of	ADP
ajfa-525	303	3	finance	finance	NOUN
ajfa-525	303	4	,	,	PUNCT
ajfa-525	303	5	19	19	NUM
ajfa-525	303	6	,	,	PUNCT
ajfa-525	303	7	425	425	NUM
ajfa-525	303	8	-	-	SYM
ajfa-525	303	9	442	442	NUM
ajfa-525	303	10	.	.	PUNCT