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The wandering weekday effect in major stock markets

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Cited by:

  1. 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.
  2. Chen, Catherine Huirong & Choy, Siu Kai & Tan, Yongxian, 2022. "The cash conversion cycle spread: International evidence," Journal of Banking & Finance, Elsevier, vol. 140(C).
  3. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  4. Vegard Høghaug Larsen & Leif Anders Thorsrud, 2022. "Asset returns, news topics, and media effects," Scandinavian Journal of Economics, Wiley Blackwell, vol. 124(3), pages 838-868, July.
  5. Anya Khanthavit, 2017. "Instrumental-Variable Estimation of Bangkok-Weather Effects in the Stock Exchange of Thailand," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(1), pages 83-111.
  6. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
  7. 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.
  8. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 37(C), pages 89-102.
  9. Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
  10. Rakowski, David & Wang, Xiaoxin, 2009. "The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2102-2109, November.
  11. Yang Gao & Chengjie Zhao & Bianxia Sun & Wandi Zhao, 2022. "Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
  12. 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.
  13. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2019. "Market Conditions and Calendar Anomalies in Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 187-209, June.
  14. Xuejun Jin & Hongze Li & Bin Yu, 2023. "The day‐of‐the‐month effect and the performance of the dollar cost averaging strategy: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 797-815, April.
  15. 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.
  16. Zhang, Chen & Yun, Po & Wagan, Zulfiqar Ali, 2019. "Study on the wandering weekday effect of the international carbon market based on trend moderation effect," Finance Research Letters, Elsevier, vol. 28(C), pages 319-327.
  17. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
  18. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 177-215.
  19. Boubaker, Sabri & Essaddam, Naceur & Nguyen, Duc Khuong & Saadi, Samir, 2017. "On the robustness of week-day effect to error distributional assumption: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 114-130.
  20. 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.
  21. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
  22. Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1237-1257.
  23. Shahid Raza & Sun Baiqing & Imtiaz Hussain & Pwint Kay-Khine, 2023. "Do good and bad news affect the day of the week effect? An analysis of the KSE-100 Index," SN Business & Economics, Springer, vol. 3(7), pages 1-22, July.
  24. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  25. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
  26. Dragos Stefan Oprea, 2014. "The Halloween Effect Evidence from Romania," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(7), pages 463-471, July.
  27. Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  28. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
  29. 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.
  30. Shuang Feng & Jon T. Stewart, 2015. "A Review of Market Segmentation and Inefficiencies of the Chinese Stock Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(4), pages 18-28, October.
  31. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
  32. Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
  33. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
  34. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.
  35. Erling Røed Larsen, 2021. "Intra‐Week Price Patterns in the Housing Market," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 327-352, January.
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