The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)
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References listed on IDEAS
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- Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
- Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
- Sumra Abbas & Attiya Yasmin Javid, 2015. "The Day-of-the-Week Anomaly in Market Returns, Volume and Volatility in SAARC Countries," PIDE-Working Papers 2015:129, Pakistan Institute of Development Economics.
- Rayenda Khresna Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Psychological factors on irrational financial decision making: Case of day-of-the week anomaly," Humanomics: The International Journal of Systems and Ethics, Emerald Group Publishing, vol. 28(4), pages 236-257, October.
- Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
- Ndako, Umar Bida, 2013. "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper 48076, University Library of Munich, Germany.
- Dragos Stefan Oprea & Elena Valentina Tilica, 2014. "Day-of-the-Week Effect in Post-Communist East European Stock Markets," 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. 4(3), pages 119-129, July.
- Dhaoui, Abderrazak & Khraief, Naceur, 2014. "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers 2014-12, Kiel Institute for the World Economy (IfW).
More about this item
Keywordsday-of-the-week effect; EGARCH-M; emerging-market economies; volatility;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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