Volatility conditions and the weekend effect of long-short anomalies : evidence from the US stock market
Wenhui Li, Normaziah Mohd Nor and Hisham M, Feng Min
| Year of publication: |
2023
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|---|---|
| Authors: | Lin, Wenhui ; Normaziah Mohd Nor ; Hisham, Mohamad ; Min, Feng |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 7.2023, 2, p. 337-355
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| Subject: | stock market volatility | weekend effect | factor investing | volatility management | ICSS model | VIX | Volatilität | Volatility | Kalendereffekt | Calendar effect | Aktienmarkt | Stock market | Börsenkurs | Share price | USA | United States | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2023016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015121050