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Intraweek and intraday seasonalities in stock market risk premia: Cash and futures

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Cited by:

  1. Jacinta Chan Phooi M’ng & Ham Yi Jer, 2021. "Do economic statistics contain information to predict stock indexes futures prices and returns? Evidence from Asian equity futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1033-1060, October.
  2. Chelley-Steeley, Patricia & Park, Keebong, 2011. "Intraday patterns in London listed Exchange Traded Funds," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 244-251.
  3. 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.
  4. 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.
  5. Zainudin Arsad & J. Andrew Coutts, 1996. "The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935-94," Applied Economics Letters, Taylor & Francis Journals, vol. 3(12), pages 797-801.
  6. Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
  7. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
  8. Hodgson, Allan & Kremmer, Michael L. & Lee, Shane, 1998. "Endogenous and exogenous determinants of interest rates," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 249-263, September.
  9. Tang, G. Y. N. & Kwok, K-h., 1997. "Day of the week effect in international portfolio diversification: January vs non-January," Japan and the World Economy, Elsevier, vol. 9(3), pages 335-352, August.
  10. Chris Brooks & Melvin J. Hinich, 2001. "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance icma-dp2001-04, Henley Business School, University of Reading.
  11. Chris Bilson & Tim Brailsford & Twm Evans, 2005. "The International Transmission of Arbitrage Information Across Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 973-1000, June.
  12. 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.
  13. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
  14. Am�lie Charles, 2010. "Does the day-of-the-week effect on volatility improve the volatility forecasts?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(3), pages 257-262, February.
  15. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
  16. Chris Bilson & Tim Brailsford & Twm Evans, 2005. "The International Transmission of Arbitrage Information Across Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5-6), pages 973-1000.
  17. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
  18. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
  19. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, University of Reading.
  20. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
  21. Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
  22. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
  23. Dan Gabriel Anghel, 2020. "What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 205-220, October.
  24. Muhammad Surajo Sanusi & Farooq Ahmad, 2016. "An analysis of seasonality fluctuations in the oil and gas stock returns," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1128133-112, December.
  25. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
  26. Tim Brailsford & Allan Hodgson, 1997. "Mispricing in Stock Index Futures: A Re†Examination Using the SPI," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 21-45, June.
  27. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
  28. 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.
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