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

Tax-free trading on calendar stock and bond market patterns

Compton, William S.; Kunkel, Robert A. - In: Journal of economics and finance 24 (2000) 1, pp. 64-76

Persistent link: https://www.econbiz.de/10001507208

The impact of the day of the week on IPO return autocorrelation and cross-correlation

Higgins, Eric James; Howton, Shelly W.; Perfect, Steven B. - In: Quarterly journal of business and economics : QJBE 39 (2000) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10001534372

Day-of-the-week and size effects in emerging markets: evidence from Chile

Marshall, Pablo; Walker Hitschfeld, Eduardo - In: Revista de análisis económico 15 (2000) 2, pp. 89-108

Persistent link: https://www.econbiz.de/10001609483

The day of the week effect and option pricing : a study of the German option market

Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001557346

Day of the week effect in emerging Asian stock markets : evidence from the GARCH model

Choudhry, Taufiq - In: Applied financial economics 10 (2000) 3, pp. 235-242

Persistent link: https://www.econbiz.de/10001526275

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - In: Yapı Kredı economic review : quarterly publ. of … 10 (1999) 2, pp. 3-29

Persistent link: https://www.econbiz.de/10001505110

Presidential administrations and the day-of-the-week effect in stock returns

Liano, Kartono; Liano, Kadir; Manakyan, Herman - In: Review of financial economics : RFE 8 (1999) 1, pp. 93-99

Persistent link: https://www.econbiz.de/10001448713

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions

Baker, H. Kent; Rahman, Abdul; Saadi, Samir - In: Review of Financial Economics 17 (2008) 4, pp. 280-295

We test for reliable evidence of the day-of-the-week effect on both the mean and volatility for the S&P/TSX Canadian …'s t, generalized error distribution, and double exponential distribution. Unlike other studies, we find that the day-of-the-week … effect in both mean and conditional volatility is sensitive to the particular specification of the underlying distributions …

Persistent link: https://www.econbiz.de/10005123345

Seasonal Effects on the Bovespa Index

Fajardo, José; Pereira, Rafael - In: Brazilian Business Review 5 (2008) 3, pp. 233-241

The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week … effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with …

Persistent link: https://www.econbiz.de/10010631394