Existing literature on market seasonality focuses mainly on returns anomalies with little or no attention to risk adjustment. This study investigates risk-adjusted, and Bonferroni adjusted day-of-the-week anomalies in nine emerging Asian stock markets. The data consist of the daily prices of nine stock indices from January 1997 to September 2019. The MSCI emerging market index was employed as a proxy of time-varying risk. Findings/originality : The results confirm the presence of day-of-the-week anomalies in emerging Asian markets, and the addition of the market risk proxy has failed to fade these patterns. Finally, after consideration of time-varying risk premium and applying Bonferroni Correction type adjustment, several market anomalies remain. However, both adjustments partially eliminate the significance of these patterns. The presence of these anomalies suggests that little of this can be accounted for the MSCI-EM stock price index. The results also confirm that systematic risk level varies from Monday to Friday.

中文翻译：

---

亚洲新兴股市的风险调整和 Bonferroni 调整季节性

现有关于市场季节性的文献主要关注回报异常，很少或根本不关注风险调整。本研究调查了九个新兴亚洲股票市场的风险调整和 Bonferroni 调整的每周异常。数据包括 1997 年 1 月至 2019 年 9 月九个股票指数的每日价格。 MSCI 新兴市场指数被用作时变风险的代理。调查结果/原创性：结果证实新兴亚洲市场存在一周中的某天异常，并且市场风险代理的添加未能消除这些模式。最后，在考虑随时间变化的风险溢价并应用 Bonferroni 校正类型调整后，仍存在一些市场异常现象。然而，这两种调整都部分地消除了这些模式的重要性。这些异常现象的存在表明，MSCI-EM 股票价格指数几乎不能解释这一点。结果还证实了系统风险水平从周一到周五各不相同。