This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Intraday volatility characteristics throughout the trading week are examined at the emerging Borsa Istanbul (BIST) stock exchange. Using five-minute (and 15-minute) intervals, accentuated intraday volatility patterns at the microstructure level are examined during the stock market open and close...

In recent decades following the evolution of information technology, decision support systems have played an important role by presenting the necessary information resulted from the operational systems processes. By continuing improvement of the methods as well as the contribution of...

This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously...

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios. We propose an alternative approach in the estimation of...

Empirical studies on market returns are carried out to try to better understand the various markets. An interesting and not fully explained finding is that mean returns differ across the day of-the-week. The most commonly found patterns in developed markets and some developing markets are the...

This paper investigates the nature of the day-of-the-week effects during the contemporary financial crisis. For this reason five equity markets are selected: Greece, Turkey, Bulgaria, Romania and Cyprus. Our main focus is in the possible change in the markets' characteristics before and during...

This study investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly we also find a positive and significant Monday effect but smaller in magnitude. The...