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The day of the week effect on stock market volatility and volume: International evidence Author info | Abstract | Publisher info | Download info | Related research | Statistics Kiymaz, Halil
Berument, Hakan
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Article provided by Elsevier in its journal Review of Financial Economics .
Volume (Year): 12 (2003)
Issue (Month): 4 ()
Pages: 363-380
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Handle: RePEc:eee:revfin:v:12:y:2003:i:4:p:363-380Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170
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Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004.
"Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data ,"
Economics and Finance Discussion Papers
04-20, Economics and Finance Section, School of Social Sciences, Brunel University.
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Other versions: Soultanaeva, Albina, 2008.
"Impact of Political News on the Baltic State Stock Markets ,"
Umeå Economic Studies
735, Umeå University, Department of Economics.
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Bing Zhang & Xindan Li, 2006.
"Do Calendar Effects Still Exist in the Chinese Stock Markets? ,"
Journal of Chinese Economic and Business Studies ,
Taylor and Francis Journals, vol. 4(2), pages 151-163, July.
[Downloadable!] (restricted)
Christos S. Savva & Denise R. Osborn & Len Gill, 2006.
"Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US ,"
Centre for Growth and Business Cycle Research Discussion Paper Series
77, Economics, The Univeristy of Manchester.
[Downloadable!]
Other versions:
Christos S. Savva & Denise R. Osborn & Len Gill, 2006.
"Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US ,"
The School of Economics Discussion Paper Series
0629, Economics, The University of Manchester.
[Downloadable!] 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.
[Downloadable!] (restricted) Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005.
"The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange ,"
Finance
0512028, EconWPA.
[Downloadable!]
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