This paper studies the presence of the day-of-the-week (DOW) effect in the financial contagion process observed on individual economic sectors from the Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout the 2008 financial...

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Anomalies, which are incompatible with the efficient market hypothesis and mean a deviation from normality, have attracted the attention of both financial investors and researchers. A salient research topic is the existence of anomalies in cryptocurrencies, which have a different financial...

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The...

The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers...

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...