Search Results - subject:"Day‐of‐the‐week effect"

Impact of Muslim Holy Days on Asian stock markets : an empirical evidence

Ali, Irfan; Akhter, Waheed; Ashraf, Namrah - In: Cogent economics & finance 5 (2017) 1, pp. 1-10

This study investigated the impact of Muslim Holy Days on daily stock returns of Asian financial markets for a period of 2001–2014. These markets include Pakistan, Bahrain, Saudi Arabia, and Turkey. The study has tried to isolate the effect of Gregorian calendar anomalies from Muslim Holy Days...

Persistent link: https://www.econbiz.de/10011877678

The evolution and cross-section of the day-of-the-week effect

Zilca, Shlomo - In: Financial innovation : FIN 3 (2017) 29, pp. 1-12

We study the day-of-the-week effect across size deciles and in three 18-year subperiods. The results show a decline in … the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of … market capitalization increases. The behavioral explanation for the day-of-the-week effect, based on monotonically improving …

Persistent link: https://www.econbiz.de/10011772243

Day-of-the-week returns and mood : an exterior template approach

Zilca, Shlomo - In: Financial innovation : FIN 3 (2017) 30, pp. 1-21

behavioral explanation for the day-of-the-week effect. Our evidence shows that the day-of-the-week mood template is a potentially … valid explanation of the day-of-the-week effect. Subperiod analysis suggests that the magnitude of the day-of-the-week … capitalization deciles. There is no decline though in the ability of mood to explain the day-of-the-week effect. …

Persistent link: https://www.econbiz.de/10011772257

The impact of partial-year enrollment on the accuracy of risk adjustment systems : a framework and evidence

Ericson, Keith M. Marzilli; Geissler, Kimberley; Lubin, … - 2017

Persistent link: https://www.econbiz.de/10011739657

Day of the week and the cross-section of return

Birru, Justin - 2017

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over...

Persistent link: https://www.econbiz.de/10011810889

Empirical testing of month of the year effect on selected commercial banks and services sector companies listed on Bahrain Bourse

Hawaldar, Iqbal Thonse; Shakila, B.; Pinto, Prakash - In: International journal of economics and financial issues … 7 (2017) 2, pp. 426-436

Persistent link: https://www.econbiz.de/10011789296

Exporter Dynamics, Firm Size and Growth, and Partial Year Effects

Bernard, Andrew B. - 2017

Two otherwise identical firms that enter the same market in different months, one in January and one in December, will report dramatically different annual sales for the first calendar year of operations. This partial year effect in annual data leads to downward biased observations of the level...

Persistent link: https://www.econbiz.de/10012973742