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Day of the Week Effects and Asset Returns

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Cited by:

  1. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
  2. 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.
  3. Diego Winkelried & Luis A. Iberico, 2018. "Calendar effects in Latin American stock markets," Empirical Economics, Springer, vol. 54(3), pages 1215-1235, May.
  4. Konstantinos Drakos, 2010. "The determinants of terrorist shocks' cross‐market transmission," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 11(2), pages 147-163, March.
  5. P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
  6. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
  7. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
  8. Lauterbach, Beni & Ungar, Meyer, 1995. "Real vs. nominal stock return seasonalities: empirical evidence," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 133-147.
  9. Swarn Chatterjee & Amy Hubble, 2016. "Day-Of-The-Week Effect In Us Biotechnology Stocks — Do Policy Changes And Economic Cycles Matter?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-17, June.
  10. 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.
  11. V. Vance Roley & Carl E. Walsh, 1985. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(Supplemen), pages 1011-1039.
  12. 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.
  13. Seyyed, Fazal J. & Abraham, Abraham & Al-Hajji, Mohsen, 2005. "Seasonality in stock returns and volatility: The Ramadan effect," Research in International Business and Finance, Elsevier, vol. 19(3), pages 374-383, September.
  14. 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.
  15. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 282-302, April.
  16. Fazal Husain, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 37(1), pages 77-81.
  17. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
  18. Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.
  19. Vijay Singal & Jitendra Tayal, 2020. "Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 479-500, March.
  20. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," CESifo Working Paper Series 3245, CESifo.
  21. 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.
  22. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
  23. Wang, Xiaolin & Ye, Qiang & Zhao, Feng, 2016. "Trading activity and price behavior in Chinese agricultural futures markets," Finance Research Letters, Elsevier, vol. 18(C), pages 52-59.
  24. C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.
  25. Abdelkader Derbali & Slaheddine Hallara, 2016. "Day-of-the-week effect on the Tunisian stock market return and volatility," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1147111-114, December.
  26. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
  27. Julius Marcus Reis & Leonard Grebe & Dirk Schiereck & Kerstin Hennig, 2023. "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 84-97, September.
  28. Ausloos, Marcel & Nedic, Olgica & Dekanski, Aleksandar & Mrowinski, Maciej J. & Fronczak, Piotr & Fronczak, Agata, 2017. "Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. II. An ARCH econometric-like modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 462-474.
  29. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
  30. 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.
  31. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
  32. Lee, Young-Sook, 2003. "The Federal funds market and the overnight Eurodollar market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 749-771, April.
  33. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
  34. Kliger, Doron & Levy, Ori, 2009. "Theories of choice under risk: Insights from financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 330-346, August.
  35. Gil-Alana, Luis A. & Cunado, Juncal & de Gracia, Fernando Perez, 2013. "Salient features of dependence in daily US stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3198-3212.
  36. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
  37. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
  38. Das, Somnath & King, Alexander Z., 2021. "Measuring the informativeness of earnings announcements: The role of event windows," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 350-367.
  39. Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.
  40. Faheem Aslam & Ahmed Imran Hunjra & Tahar Tayachi & Peter Verhoeven & Yasir Tariq Mohmand, 2022. "Calendar Anomalies in Islamic Frontier Markets," SAGE Open, , vol. 12(2), pages 21582440221, May.
  41. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Price gap anomaly in the US stock market: The whole story," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  42. Paul A. Griffin & Joseph A. Grundfest & Michael A. Perino, 2004. "Stock Price Response to News of Securities Fraud Litigation: An Analysis of Sequential and Conditional Information," Abacus, Accounting Foundation, University of Sydney, vol. 40(1), pages 21-48, February.
  43. Caporale, Guglielmo Maria & Plastun, Alex, 2019. "The day of the week effect in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 31(C).
  44. Schwert, G.W., 1989. "Indexes Of United States Stock Prices From 1802-1987," Papers 89-04, Rochester, Business - General.
  45. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
  46. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009. "Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange," MPRA Paper 41749, University Library of Munich, Germany, revised 19 Nov 2009.
  47. David L. Ikenberry & James P. Weston, 2008. "Clustering in US Stock Prices after Decimalisation," European Financial Management, European Financial Management Association, vol. 14(1), pages 30-54, January.
  48. Alexandre Garel & Benjamin Le pendeven, 2021. "Calendar effects and crowdfunded projects," Economics Bulletin, AccessEcon, vol. 41(3), pages 1407-1417.
  49. Krumer, Alex & Lechner, Michael, 2016. "Midweek Effect on Performance: Evidence from the German Soccer Bundesliga," Economics Working Paper Series 1609, University of St. Gallen, School of Economics and Political Science.
  50. Balaban, Ercan & Ozgen, Tolga & Girgin, Mehmet Sencer, 2018. "Distributional characteristics of interday stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 280-288.
  51. Reis, Julius & Grebe, Leonard & Schiereck, D. & Hennig, Kerstin, 2023. "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 141998, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  52. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
  53. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2020. "Ambiguity and investor behavior," SAFE Working Paper Series 297, Leibniz Institute for Financial Research SAFE.
  54. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
  55. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 113-132.
  56. Edgardo E. Zablotsky, 2001. "Eficiencia del mercado de Capitales. Una ilustración," CEMA Working Papers: Serie Documentos de Trabajo. 194, Universidad del CEMA.
  57. 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.
  58. Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
  59. repec:rej:journl:v:9:y:2006:i:21:p:5-20 is not listed on IDEAS
  60. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343, National Bureau of Economic Research, Inc.
  61. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  62. Sanjeet Sharma, 2011. "Day of Week Effect: Evidences from Indian Stock Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 2(6), pages 25-30, September.
  63. Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011. "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 59, pages 177-190, August.
  64. Saša Popović & Andrija Đurović, 2014. "Intraweek and intraday trade anomalies: evidence from FOREX market," Applied Economics, Taylor & Francis Journals, vol. 46(32), pages 3968-3979, November.
  65. Burton G. Malkiel & Atanu Saha & Alex Grecu, 2009. "The Clustering of Extreme Movements: Stock Prices and the Weather," Working Papers 1162, Princeton University, Department of Economics, Center for Economic Policy Studies..
  66. Jonas Hennrich & Klaus Wohlrabe, 2023. "From ‘I Don’t Like Mondays’ to ‘Friday I’m in Love’ – Day-of-the-Week Effects in Business Surveys," CESifo Working Paper Series 10750, CESifo.
  67. Konstantinos Drakos, 2009. "Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception," Economics of Security Working Paper Series 16, DIW Berlin, German Institute for Economic Research.
  68. repec:rej:journl:v:9:y:2006:i:21:p:81-92 is not listed on IDEAS
  69. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7w8106qn, Anderson Graduate School of Management, UCLA.
  70. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Leibniz Institute for Financial Research SAFE.
  71. Guillen, Jordi & Maynou, Francesc, 2014. "Importance of temporal and spatial factors in the ex-vessel price formation for red shrimp and management implications," Marine Policy, Elsevier, vol. 47(C), pages 66-70.
  72. repec:rej:journl:v:9:y:2006:i:21:p:71-79 is not listed on IDEAS
  73. Lei Gao & Gerhard Kling, 2005. "Calendar Effects in Chinese Stock Market," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 75-88, May.
  74. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
  75. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).
  76. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
  77. Philip Brown & Terry Walter, 1986. "Ex-Dividend Day Behaviour of Australian Share Prices," Australian Journal of Management, Australian School of Business, vol. 11(2), pages 139-152, December.
  78. 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.
  79. 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.
  80. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.
  81. Michael O'Neill & Kent Wang & Zhangxin (Frank) Liu & Tom Smith, 2016. "A State-Price Volatility Index for China's Stock Market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 607-626, September.
  82. Julijana Angelovska, 2013. "An Econometric Analysis of Market Anomaly - Day of the Week Effect on a Small Emerging Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 314-322, January.
  83. Andres KUUSK & Tiiu Paas & Karmen Viikmaa, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
  84. Hüseyin Kaya & Sadullah Çelik, 2009. "Empirical Evidence For Day Of The Week Effect In An Emerging Market: The Turkish Case," 2009 Meeting Papers 219, Society for Economic Dynamics.
  85. Smith, Geoffrey Peter, 2016. "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, vol. 17(C), pages 193-196.
  86. Konstantinos Drakos, 2009. "Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns," Economics of Security Working Paper Series 8, DIW Berlin, German Institute for Economic Research.
  87. 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.
  88. Hülya Cengiz & Ömer Bilen & Ali Hakan Büyüklü & Gülizar Damgacı, 2017. "Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 7(1), pages 1-11, December.
  89. Laurence E. Blose & Vijay Gondhalekar, 2013. "Weekend gold returns in bull and bear markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 609-622, September.
  90. 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.
  91. Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012. "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 835-845.
  92. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  93. Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
  94. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
  95. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
  96. 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.
  97. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.
  98. Frank J. Finn & Anthony Lynch & Simon Moore, 1991. "Intra-Week Regularities in Security Returns: Further Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 16(2), pages 129-144, December.
  99. Collver, Charles D., 2007. "Is there less informed trading after regulation fair disclosure?," Journal of Corporate Finance, Elsevier, vol. 13(2-3), pages 270-281, June.
  100. Stephen Keef & Melvin Roush, 2004. "Day-of-the-week effects: New Zealand bank bills, 1985-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 859-873.
  101. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," Discussion Papers of DIW Berlin 1386, DIW Berlin, German Institute for Economic Research.
  102. Hui, Tak-Kee, 2005. "Day-of-the-week effects in US and Asia-Pacific stock markets during the Asian financial crisis: a non-parametric approach," Omega, Elsevier, vol. 33(3), pages 277-282, June.
  103. Ercan Balaban, 1995. "Day of the week effects: new evidence from an emerging stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 139-143.
  104. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.
  105. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
  106. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.
  107. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  108. Carlo Rosa, 2022. "Understanding intraday momentum strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2218-2234, December.
  109. Mr. Jason D. Mitchell & Ms. Li L Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 2006/004, International Monetary Fund.
  110. Kartono Liano & Kadir Liano & Herman Manakyan, 1999. "Presidential administrations and the day‐of‐the‐week effect in stock returns," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 93-99.
  111. Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
  112. Foong Soon Cheong, 2016. "Debunking Two Myths of the Weekend Effect," IJFS, MDPI, vol. 4(2), pages 1-9, April.
  113. Konstantinos Drakos, 2010. "Terrorism activity, investor sentiment, and stock returns," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 128-135, August.
  114. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
  115. A. R. Zafer Sayar & Onder Kaymaz & Ali Alp, 2010. "The Effect of the Transparency Level of the ISE-Listed Banks on Liquidity," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 27-58.
  116. 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.
  117. Magdalena Mikolajek-Gocejna & Tomasz Urbas, 2023. "Rational Investors or Rational Expectations in Efficient Market Hypothesis?," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 13(2), pages 167-188.
  118. Ling-Yun He & Sheng Yang & Wen-Si Xie & Zhi-Hong Han, 2014. "Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S1), pages 148-166.
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  120. Compton, William S. & Kunkel, Robert A., 1998. "A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F," Financial Services Review, Elsevier, vol. 7(1), pages 11-23.
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  122. Ramona Dumitriu & Razvan Stefanescu, 2010. "Changes in the dow effects in the romanian foreign exchange market," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 11(1), pages 163-179, May.
  123. Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.
  124. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
  125. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
  126. 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).
  127. Baur, Dirk G. & Cahill, Daniel & Godfrey, Keith & (Frank) Liu, Zhangxin, 2019. "Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume," Finance Research Letters, Elsevier, vol. 31(C), pages 78-92.
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  129. Ramon P. DeGennaro & James T. Moser, 1990. "Failed delivery and daily Treasury bill returns," Working Papers (Old Series) 9003, Federal Reserve Bank of Cleveland.
  130. Irfan Ali & Waheed Akhter & Namrah Ashraf, 2017. "Impact of Muslim Holy Days on Asian stock markets: An empirical evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1311096-131, January.
  131. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.
  132. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
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