Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(3), pages 43-61, December.
- Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
- Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
- Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
- Iryna O. Depenchuk & William S. Compton & Robert A. Kunkel, 2010. "Ukrainian financial markets: an examination of calendar anomalies," Managerial Finance, Emerald Group Publishing, vol. 36(6), pages 502-510, May.
- Ke, Mei-Chu & Chiang, Yi-Chein & Liao, Tung Liang, 2007. "Day-of-the-week effect in the Taiwan foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2847-2865, September.
- Jan Hanousek & Evžen Kočenda, 2010.
"Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU
[Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 435-457.
- Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
- Giovanis, Eleftherios, 2009. "The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets," MPRA Paper 22328, University Library of Munich, Germany.
- Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
- Jan Hanousek & Evžen Kočenda, 2011.
"Foreign News and Spillovers in Emerging European Stock Markets,"
Review of International Economics,
Wiley Blackwell, vol. 19(1), pages 170-188, February.
- Jan Hanousek & Evzen Kocenda, 2009. "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers wp382, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
- Andrew C. Worthington, 2007. "National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns," Economic Papers, The Economic Society of Australia, vol. 26(2), pages 170-179, June.
- Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
- repec:blg:journl:v:12:y:2017:i:1:p:95-109 is not listed on IDEAS
- George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
- Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1035-1043. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .