Search Results - subject:"Day of the Week Effect"

Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach

Hooi Hooi Lean; Wong, Wing Keung; Smyth, Russell - 2005

Persistent link: https://www.econbiz.de/10003068397

Detection and forecasting of Islamic calendar effects in time series data

Riazuddin, Riaz; Khan, Mahmood-ul-Hasan - In: Research bulletin / State Bank of Pakistan 1 (2005) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10003714260

Does Past Information Help Predict Future Price Movements in Emerging Capital Markets? Evidence from the Colombo Securities Exchange

Vidanage, Thushari; Dayaratna-Banda, O.G. - In: South Asia Economic Journal 13 (2012) 2, pp. 241-264

and tests on the day-of-the-week effect rejected the weak-form of Efficient Market Hypothesis, whereas Augmented Dickeyâ …

Persistent link: https://www.econbiz.de/10011135942

Stock market return and volatility: day-of-the-week effect

Berument, M.; Dogan, Nukhet - In: Journal of Economics and Finance 36 (2012) 2, pp. 282-302

Persistent link: https://www.econbiz.de/10010848314

The week-of-the-year effect: Evidence from around the globe

Levy, Tamir; Yagil, Joseph - In: Journal of Banking & Finance 36 (2012) 7, pp. 1963-1974

This study investigates another calendar anomaly the literature does not yet address – the week-of-the-year (WOY) effect. Using the weekly returns on the stock market indexes of 20 countries worldwide, for a period that ends in December 2010, the findings demonstrate that returns in Week 44,...

Persistent link: https://www.econbiz.de/10010578000

Impact of future trading on stock market: a study of BRIC countries

Gahlot, Ruchika; Datta, Saroj Kumar - In: Studies in Economics and Finance 29 (2012) 2, pp. 118-132

day‐of‐the‐week effect in BRIC countries' stock market. Design/methodology/approach – This study uses closing prices of … and day‐of‐the week effect. Findings – The insignificant coefficient of variance in the conditional mean equation of GARCH … reduction in the volatility of the Indian stock market. There are some evidences of presence of day‐of‐the‐week effect in the …

Persistent link: https://www.econbiz.de/10015013652

Impact of future trading on stock market: a study of BRIC countries

Gahlot, Ruchika; Datta, Saroj Kumar - In: Studies in Economics and Finance 29 (2012) June, pp. 118-132

day-of-the-week effect in BRIC countries' stock market. Design/methodology/approach – This study uses closing prices of … and day-of-the week effect. Findings – The insignificant coefficient of variance in the conditional mean equation of GARCH … reduction in the volatility of the Indian stock market. There are some evidences of presence of day-of-the-week effect in the …

Persistent link: https://www.econbiz.de/10010551618

Day-of-the-week effect around the 2008 financial crisis

Hourvouliades, Nikolas L.; Polimenis, Vassilis - In: Global Business and Economics Review 14 (2012) 4, pp. 283-307

This paper investigates the existence and possible changes of day-of-the-week effect before and during the 2008 … inefficiency. Finally, Romania and Ukraine report opposite results, by exhibiting day-of-the-week effect during the crisis sub …

Persistent link: https://www.econbiz.de/10010668974

The Thursday effect of the forward premium puzzle

Ding, Liang - In: International Review of Economics & Finance 21 (2012) 1, pp. 302-318

This paper examines the day-of-the-week effect for the forward premium puzzle. The paper finds that Thursday …

Persistent link: https://www.econbiz.de/10010688140

Impact of future trading on stock market : a study of BRIC countries

Gahlot, Ruchika; Datta, Saroj Kumar - In: Studies in economics and finance 29 (2012) 2, pp. 118-132

Persistent link: https://www.econbiz.de/10009559805