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The day of the week effect on stock market volatility and volume: International evidence

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Author Info
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:363-380

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  1. 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. [Downloadable!]
    Other versions:
  2. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," UmeÃ¥ Economic Studies 735, Umeå University, Department of Economics. [Downloadable!]
  3. 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)
  4. 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!]
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  5. 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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