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Citations for "Stock returns and the weekend effect"

by French, Kenneth R.

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Cited by (explanations, 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.):
  1. Vicente Meneu & Angel Pardo, . "El efecto "día festivo" en la Bolsa española," Studies on the Spanish Economy 95, FEDEA. [Downloadable!]
  2. Mark J. Kamstra & Lisa A. Kramer & 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. [Downloadable!] (restricted)
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  3. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
  4. Pablo Marshall & Eduardo Walker, 2002. "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 247-268, December. [Downloadable!]
  5. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376. [Downloadable!]
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  6. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany. [Downloadable!]
  7. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," Working Paper 2000-6, Federal Reserve Bank of Atlanta. [Downloadable!]
  9. L. Ingber, . "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber. [Downloadable!]
  10. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June. [Downloadable!] (restricted)
  11. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August. [Downloadable!] (restricted)
  12. 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. [Downloadable!]
  13. Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005. "The weekend trading profitability: evidence from international mutual funds," Working Papers 2004-10, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  14. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics. [Downloadable!]
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  15. Yuan, Hsiao-Jane & Ramsey, James B., 1988. "A Linear Statistical Analysis Of Tic-By-Tic Stock Market Data," Working Papers 88-35, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  16. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August. [Downloadable!] (restricted)
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  17. Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics. [Downloadable!]
  18. Husain, Fazal, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," MPRA Paper 5032, University Library of Munich, Germany. [Downloadable!]
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  19. Espinosa Méndez, Christian, 2007. "Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno
    [Effect Weekend And Effect Month End In The Chilean Stock Market]    ," MPRA Paper 3252, University Library of Munich, Germany. [Downloadable!]
  20. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006. [Downloadable!]
  21. Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance 0407017, EconWPA. [Downloadable!]
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  22. Li L. Ong & Srobona Mitra & Jorge A. Chan-Lau, 2007. "Contagion Risk in the International Banking System and Implications for London as a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund. [Downloadable!]
  23. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  24. Husain, Fazal, 2000. "The Day of the Week Effect in the Pakistani Equity Market: An Investigation," MPRA Paper 5268, University Library of Munich, Germany. [Downloadable!]
  25. Michael Thorpe, 2005. "Financial Sector Reform in China," CERT Discussion Papers 0502, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
  26. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
  27. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January. [Downloadable!] (restricted)
  28. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28. [Downloadable!]
  29. Tokel, Omer Emre & Yucel, Eray M., 2009. "Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey," MPRA Paper 15704, University Library of Munich, Germany. [Downloadable!]
  30. Ryan Sullivan & Allan Timmermann & Halbert White, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series 1998-16, Department of Economics, UC San Diego. [Downloadable!]
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  31. Amado Peiro Gimenez, 1994. "La estacionalidad diaria del mercado de acciones español," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 557-569, September. [Downloadable!]
  32. Ercan Balaban, 1995. "Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation," Discussion Papers 9502, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  33. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  34. CHUKWUOGOR-NDU, Chiaku & FERIDUN, Mete, 2006. "N Econometric Investigation Of The Day-Of-The-Week Effect And Returns Volatility In Fifteen Asia Pacific Financial Markets (1998-2003)," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1). [Downloadable!] (restricted)
  35. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 1035-1043, October. [Downloadable!] (restricted)
  36. Stephen P. Keef & Melvin L. Roush, 2004. "Day-of-the-week effects: New Zealand bank bills, 1985-2000," Applied Financial Economics, Taylor and Francis Journals, vol. 14(12), pages 859-873, August. [Downloadable!] (restricted)
  37. Edgardo E. Zablotsky, 2002. "Consideraciones sobre la Eficiencia del mercado de capitales argentino," CEMA Working Papers: Serie Documentos de Trabajo. 213, Universidad del CEMA. [Downloadable!]
  38. Lonjid, Iveel, 2009. "Stochastic Dominance in Stock Market Special Days," MPRA Paper 17141, University Library of Munich, Germany, revised 07 Sep 2009. [Downloadable!]
  39. 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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  40. L. Ingber & J.K. Wilson, . "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber. [Downloadable!]
  41. Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 394-399. [Downloadable!]
  42. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  43. Stephen P. Keef & Melvin L. Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 107-119, January. [Downloadable!] (restricted)
  44. Gordon Tang, 1997. "Weekly pattern in higher moments: An empirical test in Hong Kong stock market," Journal of Economics and Finance, Springer, vol. 21(1), pages 51-59, March. [Downloadable!] (restricted)
  45. Ercan Balaban, 1995. "Some Empirics of the Turkish Stock Market," Discussion Papers 9508, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  46. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter. [Downloadable!] (restricted)
  47. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90. [Downloadable!]
  48. Richard A. Zuber & Patrick Yiu & Reinhold P. Lamb & John M. Gandar, 2005. "Investor-fans? An examination of the performance of publicly traded English Premier League teams," Applied Financial Economics, Taylor and Francis Journals, vol. 15(5), pages 305-313, March. [Downloadable!] (restricted)
  49. Martin T. Bohl & Janusz Brzeszczynski, 2005. "Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market," CERT Discussion Papers 0501, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
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  50. Martin Petri & Tahsin Saadi-Sedik, 2006. "The Jordanian Stock Market--Should You Invest in it for Risk Diversification or Performance?," IMF Working Papers 06/187, International Monetary Fund. [Downloadable!]
  51. Takatoshi Ito & V. Vance Roley, 1991. "Intraday Yen/Dollar Exchange Rate Movements: News or Noise?," NBER Working Papers 2703, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  52. Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  53. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 215-220, February. [Downloadable!] (restricted)
  54. R. W. Hafer, 1985. "Further evidence on stock price response to changes in weekly money and the discount rate," Working Papers 1985-015, Federal Reserve Bank of St. Louis. [Downloadable!]
  55. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  56. Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003. "January reversal in the US weekend effect," Working Papers 2003-05, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  57. Bjorn Wahlroos & Tom Berglund, 1983. "The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling," Discussion Papers 579, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  58. 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!]
  59. Cemal Berk O&gcaron;uzsoy & Sibel Güven, 2003. "Stock returns and the day-of-the-week effect in İstanbul Stock Exchange," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 959-971, January. [Downloadable!] (restricted)
  60. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  61. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
  62. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 261-274, November. [Downloadable!] (restricted)
  63. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics. [Downloadable!]
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  64. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  65. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-12-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.