Advanced Search
MyIDEAS: Login to save this article or follow this journal

The day-of-the-week effect: The international evidence

Contents:

Author Info

  • Dubois, M.
  • Louvet, P.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWTCVK-9/2/a1c5238f267cc688d69294c1465705d7
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 20 (1996)
    Issue (Month): 9 (November)
    Pages: 1463-1484

    as in new window
    Handle: RePEc:eee:jbfina:v:20:y:1996:i:9:p:1463-1484

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
    2. Connolly, Robert A., 1991. "A posterior odds analysis of the weekend effect," Journal of Econometrics, Elsevier, Elsevier, vol. 49(1-2), pages 51-104.
    3. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 28(04), pages 497-513, December.
    4. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
    5. Yadav, Pradeep K. & Pope, Peter F., 1992. "Intraweek and intraday seasonalities in stock market risk premia: Cash and futures," Journal of Banking & Finance, Elsevier, Elsevier, vol. 16(1), pages 233-270, February.
    6. Solnik, Bruno & Bousquet, Laurence, 1990. "Day-of-the-week effect on the Paris Bourse," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 461-468, August.
    7. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 39(2), pages 377-92, June.
    8. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 483-510, August.
    9. Smirlock, Michael & Starks, Laura, 1986. "Day-of-the-week and intraday effects in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 197-210, September.
    10. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 25(02), pages 187-201, June.
    11. Cadsby, C.B., 1988. "Canadian Calendar Anomalies And The Capital Asset Pricing Model," Working Papers, University of Guelph, Department of Economics and Finance 1988-12, University of Guelph, Department of Economics and Finance.
    12. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 16(1), pages 99-117, May.
    13. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(02), pages 263-277, June.
    14. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
    15. Admati, Anat R & Pfleiderer, Paul, 1989. "Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(2), pages 189-223.
    16. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 246-73, April.
    17. Baillie, R.T. & Degennaro, R., 1988. "The Impact Of Delivery Terms On Stock Return Volatility," Papers, Michigan State - Econometrics and Economic Theory 8804, Michigan State - Econometrics and Economic Theory.
    18. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 45(1), pages 231-43, March.
    19. Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(2), pages 199-228, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:20:y:1996:i:9:p:1463-1484. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.