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Seasonality Estimation in Thin Markets

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  • Theobald, Michael
  • Price, Vera
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    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 39 (1984)
    Issue (Month): 2 (June)
    Pages: 377-92

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    Handle: RePEc:bla:jfinan:v:39:y:1984:i:2:p:377-92

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    Cited by:
    1. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer, vol. 38(3), pages 407-437, July.
    2. Brian Lucey, 2005. "Are local or international influences responsible for the pre-holiday behaviour of Irish equities?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 381-389.
    3. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    4. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
    5. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
    6. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
    7. Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008. "The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
    8. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, vol. 103(1), pages 186-197, November.
    9. Theobald, Michael & Yallup, Peter, 1998. "Measuring cash-futures temporal effects in the UK using partial adjustment factors," Journal of Banking & Finance, Elsevier, vol. 22(2), pages 221-243, February.
    10. Alford, Alan & Guffey, Daryl M., 1996. "A re-examination of international seasonalities," Review of Financial Economics, Elsevier, vol. 5(1), pages 1-17.
    11. Theobald, Michael & Yallup, Peter, 2004. "Determining security speed of adjustment coefficients," Journal of Financial Markets, Elsevier, vol. 7(1), pages 75-96, January.
    12. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
    13. Hui, Tak-Kee, 2005. "Day-of-the-week effects in US and Asia-Pacific stock markets during the Asian financial crisis: a non-parametric approach," Omega, Elsevier, vol. 33(3), pages 277-282, June.
    14. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
    15. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
    16. James Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 895-899.
    17. Poshakwale, Sunil & Theobald, Michael, 2004. "Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 385-400, October.
    18. Brusa, Jorge & Liu, Pu & Schulman, Craig, 2003. "The "reverse" weekend effect: the U.S. market versus international markets," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 267-286.
    19. Miguel Balbina & Nuno C. Martins, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
    20. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.

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