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An Examination of the Robustness of the Weekend Effect

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Cited by:

  1. Arjun Chatrath & Rohan A. Christie-David & Sanjay Ramchander, 2012. "Public Information, REIT Responses, Size, Leverage, and Focus," Journal of Real Estate Research, American Real Estate Society, vol. 34(4), pages 463-514.
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  3. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
  4. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
  5. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
  6. Diego Winkelried & Luis A. Iberico, 2018. "Calendar effects in Latin American stock markets," Empirical Economics, Springer, vol. 54(3), pages 1215-1235, May.
  7. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 407-437, July.
  8. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
  9. 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.
  10. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
  11. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
  12. Sproule, Robert & Gosselin, Gabriel, 2023. "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper 117001, University Library of Munich, Germany.
  13. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
  14. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  15. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
  16. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
  17. Vasileiou, Evangelos, 2018. "Is the turn of the month effect an “abnormal normality”? Controversial findings, new patterns and…hidden signs(?)," Research in International Business and Finance, Elsevier, vol. 44(C), pages 153-175.
  18. Krzysztof Borowski, 2016. "Analysis Of Monthly Rates Of Return In April On The Example Of Selected World Stock Exchange Indices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(2), pages 307-325, June.
  19. Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 777-784.
  20. 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.
  21. J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September.
  22. Mehmet Hasan Eken & Taylan Ozgür Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
  23. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
  24. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
  25. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  26. Olson, Dennis & Mossman, Charles & Chou, Nan-Ting, 2015. "The evolution of the weekend effect in US markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 56-63.
  27. Srinivas Nippani & Augustine C. Arize, 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 157-171, August.
  28. Miguel Balbina, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
  29. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
  30. Keef, Stephen P. & Khaled, Mohammed S., 2011. "Are investors moonstruck? Further international evidence on lunar phases and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 56-63, January.
  31. Zainal Abidin, Shahida Nadia & Wan Mahmood, Wan Mansor, 2007. "Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations," MPRA Paper 13326, University Library of Munich, Germany.
  32. Robert Faff & Steven Cahan, 2013. "Mickey Mouse and the IDioT principle for assessing research contribution: discussion of ‘Is the relationship between investment and conditional cash flow volatility ambiguous, asymmetric or both?’," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(4), pages 949-960, December.
  33. Georgios Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2010. "The implications of retained and distributed earnings for future profitability and stock returns," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(4), pages 395-423, November.
  34. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
  35. Stephen P. Keef & Hui Zhu, 2009. "The Monday effect in U.S. cotton prices," Agribusiness, John Wiley & Sons, Ltd., vol. 25(3), pages 427-448.
  36. Mosebach, Michael, 1999. "Market response to banks granting lines of credit," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1707-1723, November.
  37. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
  38. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
  39. Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
  40. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
  41. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
  42. Taufiq Choudhry, 2000. "Meltdown of 1987 and meteor showers among Pacific-Basin stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 71-80.
  43. Ferris, Stephen P. & McInish, Thomas H. & Wood, Robert A., 1997. "Automated trade execution and trading activity: The case of the Vancouver stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 61-72, April.
  44. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
  45. Brockett, P. L., & Chen, H. M. & J. R. Garven, "undated". "Event Study Methodology: A New and Stochastically Flexible Approach," Working Papers 003, Risk and Insurance Archive.
  46. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  47. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
  48. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
  49. Nickolaos Tsangarakis, 2007. "The day-of-the-week effect in the Athens Stock Exchange (ASE)," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1447-1454.
  50. Kedar-Levy, Haim & Yu, Xiaoyan & Kamesaka, Akiko & Ben-Zion, Uri, 2010. "The impact of daily return limit and segmented clientele on stock returns in China," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 223-236, September.
  51. Tariq Aziz & Valeed Ahmad Ansari, 2018. "The Turn of the Month Effect in Asia-Pacific Markets: New Evidence," Global Business Review, International Management Institute, vol. 19(1), pages 214-226, February.
  52. Tse, Yiuman & Booth, G. Geoffrey, 1997. "Information shares in international oil futures markets," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 49-56.
  53. Kaveh Moradi Dezfouli & Lawrence Kryzanowski, 2016. "Derivatives, Short Selling and US Equity and Bond Mutual Funds," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-44, March.
  54. Gordon Tang, 1996. "Day-of-the-week effect on skewness and kurtosis: a direct test and portfolio effect," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 333-351.
  55. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
  56. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
  57. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
  58. Robert Hudson & Kevin Keasey & Mike Dempsey, 1998. "Share prices under Tory and Labour governments in the UK since 1945," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 389-400.
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  60. Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217.
  61. Changyun Wang, 2002. "The effect of net positions by type of trader on volatility in foreign currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(5), pages 427-450, May.
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