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Daily seasonality in stock returns : Further international evidence

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  • Peiro, Amado

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  • Peiro, Amado, 1994. "Daily seasonality in stock returns : Further international evidence," Economics Letters, Elsevier, vol. 45(2), pages 227-232, June.
    • Handle: RePEc:eee:ecolet:v:45:y:1994:i:2:p:227-232
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    Cited by:

    1. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    2. 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.
    3. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    4. 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.
    5. Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
    6. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.
    7. Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.
    8. Gardeazabal, Javier & Regulez, Marta, 2004. "A factor model of seasonality in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 224-236, May.
    9. Amado Peiro Gimenez, 1994. "La estacionalidad diaria del mercado de acciones español," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 557-569, September.
    10. Denise R. Osborn & Christos S. Savva & Len Gill, 2008. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 307-325, Summer.
    11. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
    12. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.
    13. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    14. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 261-274, November.
    15. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.

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