IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Stock returns and the weekend effect"

by French, Kenneth R.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 1Shieldvie Halim Author_Email: & Aldrin Herwany, & Rayenda Brahmana, 2011. "The Seasonality Of Market Integration: Case Of Indonesian Stock Markets," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-439, Conference Master Resources.
  2. Bomfim, Antulio N., 2003. "Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 133-151, January.
  3. Imtiaz Mazumder, M. & Chu, Ting-Heng & Miller, Edward M. & Prather, Larry J., 2008. "International day-of-the-week effects: An empirical examination of iShares," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 699-715, September.
  4. 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.
  5. Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006. "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers dp568, Financial Markets Group.
  6. Miguel Balbina & Nuno C. Martins, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
  7. Bohl, Martin T. & Goodfellow, Christiane & Bialkowski, Jedrzej, 2010. "Individual investors surpass their reputation: Trading behaviour on the Polish futures market," Economic Systems, Elsevier, vol. 34(4), pages 480-492, December.
  8. 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.
  9. James Philpot & Craig A. Peterson, 2011. "A brief history and recent developments in day-of-the-week effect literature," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 808-816, September.
  10. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  11. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper 2005-02, Federal Reserve Bank of Atlanta.
  12. 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..
  13. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
  14. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
  15. 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.
  16. Jakub Seidler, 2008. "Implied Market Loss Given Default: structural-model approach," Working Papers IES 2008/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2008.
  17. Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 903-924, December.
  18. Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer, vol. 34(3), pages 257-268, July.
  19. Michael Thorpe, 2005. "Financial Sector Reform in China," CERT Discussion Papers 0502, Centre for Economic Reform and Transformation, Heriot Watt University.
  20. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  21. repec:cup:cbooks:9780521779654 is not listed on IDEAS
  22. 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.
  23. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
  24. repec:rej:journl:v:9:y:2006:i:21:p:95-100 is not listed on IDEAS
  25. repec:rej:journl:v:9:y:2006:i:21:p:33-44 is not listed on IDEAS
  26. Brusa, Jorge & Liu, Pu & Schulman, Craig, 2003. "The "reverse" weekend effect: the U.S. market versus international markets," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 267-286.
  27. 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.
  28. Jorge Brusa & Rodrigo Hernandez & Pu Liu, 2011. "Reverse weekend effect, trading volume, and illiquidity," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 817-839, September.
  29. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
  30. 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.
  31. 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.
  32. 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.
  33. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
  34. 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.
  35. Stefano Dellavigna & Joshua M. Pollet, 2009. "Investor Inattention and Friday Earnings Announcements," Journal of Finance, American Finance Association, vol. 64(2), pages 709-749, 04.
  36. 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.
  37. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany.
  38. Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
  39. 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.
  40. 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.
  41. Branch, Ben & Jung, Jay & Yang, Taewon, 2001. "The Monday merger effect," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 1-18.
  42. Matthew C. Mitchell & Muhamad Iqbal Mohd Rafi & Sean Severe & Jeffrey A. Kappen, 2014. "Conventional Vs. Islamic Finance: The Impact Of Ramadan Upon Sharia-Compliant Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(1).
  43. 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.
  44. Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
  45. Yamori, Nobuyoshi & Kurihara, Yutaka, 2004. "The day-of-the-week effect in foreign exchange markets: multi-currency evidence," Research in International Business and Finance, Elsevier, vol. 18(1), pages 51-57, April.
  46. 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.
  47. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
  48. Angelo Ranaldo, 2007. "Segmentation and Time-of-Day Patterns in Foreign Exchange Markets," Working Papers 2007-03, Swiss National Bank.
  49. Maxim Zagonov, 2011. "Securitization and Bank Intermediation Function," Finance zagonov-wpsz2011, Socionet.
  50. Srinivas Nippani & John G. Greenhut, 2011. "Reversal of the weekend effect in Canada: an empirical analysis," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 840-854, September.
  51. 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.
  52. 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.
  53. Benoit F. Leleux & Veronique M. Matthys & Julian E. Lange, 1996. "Pricing High Growth Firms: Arbitrage Opportunities in the Inc. 100," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(1), pages 43-60 , Spring.
  54. 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.
  55. Dumitriu, Ramona & Stefanescu, Razvan, 2010. "Changes in the DOW effects in the Romanian foreign exchange market," MPRA Paper 41666, University Library of Munich, Germany, revised 15 Mar 2010.
  56. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
  57. Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Research Memorandum FEW 479, School of Economics and Management.
  58. Andres KUUSK & Tiiu Paas & Andres KUUSK, 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.
  59. Green, Christopher J. & Bai, Ye, 2008. "The euro: Did the markets cheer or jeer?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 431-446.
  60. William Compton & Robert Kunkel, 2000. "Tax-free trading on calendar stock and bond market patterns," Journal of Economics and Finance, Springer, vol. 24(1), pages 64-76, March.
  61. 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.
  62. Jorge A. Chan-Lau & Srobona Mitra & Li L. Ong, 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.
  63. Jose Montalvo, 1999. "Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 469-475.
  64. Kristjanpoller Rodríguez Werner, 2013. "Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos," Contaduría y Administración:Revista Internacional, Accounting and Management: International Journal, vol. 58(1), pages 37-62, enero-mar.
  65. repec:rej:journl:v:9:y:2006:i:21:p:5-20 is not listed on IDEAS
  66. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
  67. Gardeazabal, Javier & Regulez, Marta, 2004. "A factor model of seasonality in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 224-236, May.
  68. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
  69. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University.
  70. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
  71. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  72. Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, vol. 23(1), pages 43-56, January.
  73. Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2011. "The Monday effect revisited: An alternative testing approach," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 447-460, June.
  74. 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.
  75. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  76. repec:rej:journl:v:9:y:2006:i:21:p:81-92 is not listed on IDEAS
  77. Fatemi, Ali M. & Park, Jinwoo, 1996. "Seasonal patterns in Japanese ADR returns and the US stock market influence," Japan and the World Economy, Elsevier, vol. 8(1), pages 65-79, March.
  78. 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.
  79. Eric Ghysels & Joanna Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.
  80. P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
  81. 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.
  82. 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.
  83. Theissen, Erik, 2005. "An analysis of private investors' stock market return forecasts," CFR Working Papers 05-16, University of Cologne, Centre for Financial Research (CFR).
  84. Galai, Dan & Kedar-Levy, Haim & Schreiber, Ben Z., 2008. "Seasonality in outliers of daily stock returns: A tail that wags the dog?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 784-792, December.
  85. repec:rej:journl:v:9:y:2006:i:21:p:21-32 is not listed on IDEAS
  86. Jorge Brusa & Wayne Lee & Pu Liu, 2011. "Monday returns and asset pricing," Journal of Economics and Finance, Springer, vol. 35(3), pages 332-347, July.
  87. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, 02.
  88. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  89. 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.
  90. Hee-Joon Ahn, 2014. "Does Trading by Small Investors Improve or Deteriorate Price Efficiency? Evidence from the Minimum Trade Unit Changes on the Korea Exchange," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(2), pages 203-219, May.
  91. 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.
  92. Boynton, Wentworth & Oppenheimer, Henry R. & Reid, Sean F., 2009. "Japanese day-of-the-week return patterns: New results," Global Finance Journal, Elsevier, vol. 20(1), pages 1-12.
  93. Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
  94. 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.).
  95. 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.
  96. Jakub Seidler & Petr Jakubík, 2009. "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 20-40, January.
  97. 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.
  98. Oded Galor & Omer Moav, 2005. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," 2005 Meeting Papers 24, Society for Economic Dynamics.
  99. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
  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 A. Gil-Alana, 2013. "Long Memory in the Ukrainian Stock Market," Discussion Papers of DIW Berlin 1279, DIW Berlin, German Institute for Economic Research.
  102. 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.
  103. Ferris, Stephen P. & McInish, Thomas H. & Wood, Robert A., 1997. "Automated trade execution and trading activity: The case of the Vancouver stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 61-72, April.
  104. Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2010. "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," MPRA Paper 21984, University Library of Munich, Germany.
  105. 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, November.
  106. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra.
  107. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
  108. Lamb, Reinhold P. & Ma, K. C. & Daniel Pace, R. & Kennedy, William F., 1997. "The congressional calendar and stock market performance," Financial Services Review, Elsevier, vol. 6(1), pages 19-25.
  109. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
  110. 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).
  111. 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.
  112. 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.
  113. Lean Hooi Hooi & Wong Wing Keung & Russell Smyth, 2005. "Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach," Monash Economics Working Papers 16/05, Monash University, Department of Economics.
  114. Kim, Sang W. & Rogers, John H., 1995. "International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 117-133, June.
  115. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
  116. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
  117. 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.
  118. Takatoshi Ito & V. Vance Roley, 1988. "Intraday yen/dollar exchange rate movements: news or noise?," Research Working Paper 88-07, Federal Reserve Bank of Kansas City.
  119. Müller, Luisa & Schiereck, Dirk & Simpson, Marc W. & Voigt, Christian, 2009. "Daylight saving effect," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 127-138, April.
  120. 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.
  121. 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.
  122. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Discussion Papers dp98-04, Department of Economics, Simon Fraser University.
  123. Syed Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 13(10), pages 621-628.
  124. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
  125. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
  126. Abhakorn, Pongrapeeporn & Tantisantiwong, Nongnuch, 2012. "A reexamination of capital controls’ effectiveness: Recent experience of Thailand," Journal of Asian Economics, Elsevier, vol. 23(1), pages 26-38.
  127. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.
  128. Yung-Jang Wang & M. Walker, 2000. "An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan," Journal of Economics and Finance, Springer, vol. 24(2), pages 178-194, June.
  129. Christos Kollias & Stephanos Papadamou, 2012. "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series 67, DIW Berlin, German Institute for Economic Research.
  130. 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.
  131. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
  132. 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.
  133. 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.
  134. Kenneth Washer & Srinivas Nippani & John Wingender, 2011. "Day-of-the-week effect in the Canadian money market," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 855-866, September.
  135. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
  136. Robert Ślepaczuk, 2005. "Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 12.
  137. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  138. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
  139. 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 & Francis Journals, vol. 14(14), pages 1035-1043.
  140. 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 & Francis Journals, vol. 14(3), pages 215-220.
  141. Roßbach, Peter, 2001. "Behavioral finance: eine Alternative zur vorherrschenden Kapitalmarkttheorie?," Frankfurt School - Working Paper Series 31, Frankfurt School of Finance and Management.
  142. 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.
  143. Rešovský, Marcel & Gróf, Marek & Horváth, Denis & Gazda, Vladimír, 2014. "Analysis of the Lead-Lag Relationship on South Africa capital market," MPRA Paper 57309, University Library of Munich, Germany.
  144. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2014. "Spread determinants and the day-of-the-week effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 51-60.
  145. Jones, Travis L. & Ligon, James A., 2009. "The day of the week effect in IPO initial returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 110-127, February.
  146. Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 508-520, September.
  147. 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.
  148. repec:rej:journl:v:9:y:2006:i:21:p:71-79 is not listed on IDEAS
  149. 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.
  150. Og[caron]uzsoy, Cemal Berk & Güven, Sibel, 2007. "Robust portfolio planning in the presence of market anomalies," Omega, Elsevier, vol. 35(1), pages 1-6, February.
  151. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  152. Ming-Hsien Chen & Vivian Tai, 2014. "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, vol. 17(2), pages 217-239, July.
  153. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
  154. 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.
  155. Chan, Choon Chat & Fong, Wai Mun, 2006. "Realized volatility and transactions," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2063-2085, July.
  156. Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013. "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper 54185, University Library of Munich, Germany, revised 15 Jul 2013.
  157. 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.
  158. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer, vol. 38(3), pages 407-437, July.
  159. Lee, Cheng F & Rui, Oliver M, 2000. " Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 341-60, June.
  160. Kaplanski, Guy & Levy, Haim, 2010. "Sentiment and stock prices: The case of aviation disasters," Journal of Financial Economics, Elsevier, vol. 95(2), pages 174-201, February.
  161. Edgardo E. Zablotsky, 2002. "Consideraciones sobre la Eficiencia del mercado de capitales argentino," CEMA Working Papers: Serie Documentos de Trabajo. 213, Universidad del CEMA.
  162. 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.
  163. 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.
  164. Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics.
  165. 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.
  166. 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.
  167. 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.
  168. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
  169. Fooladi, Iraj J. & Rumsey, John, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, Elsevier, vol. 15(3), pages 223-236.
  170. 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.
  171. Jos, van Bommel, 2011. "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution," Finance Research Letters, Elsevier, vol. 8(3), pages 112-119, September.
  172. 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.
  173. 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.
  174. Liano, Kartono & Liano, Kadir & Manakyan, Herman, 1999. "Presidential administrations and the day-of-the-week effect in stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 93-99, June.
  175. Kedar-Levy, Haim & Yu, Xiaoyan & Kamesaka, Akiko & Ben-Zion, Uri, 2010. "The impact of daily return limit and segmented clientele on stock returns in China," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 223-236, September.
  176. 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.
  177. Dragan Tevdovski & Martin Mihajlov & Igor Sazdovski, 2012. "The Day Of The Week Effect In South Eastern Europe Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 20-24, September.
  178. 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.
  179. Mookerjee, Rajen & Yu, Qiao, 1999. "An empirical analysis of the equity markets in China," Review of Financial Economics, Elsevier, vol. 8(1), pages 41-60, June.
  180. 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.
  181. Doyle, John R. & Chen, Catherine Huirong, 2009. "The wandering weekday effect in major stock markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1388-1399, August.
  182. Amado Peiro Gimenez, 1994. "La estacionalidad diaria del mercado de acciones español," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 557-569, September.
  183. repec:rej:journl:v:9:y:2006:i:21:p:45-55 is not listed on IDEAS
  184. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 23-43, January.
  185. 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.
  186. Cemal Berk O˛uzsoy & Sibel Guven, 2003. "Stock returns and the day-of-the-week effect in i-super-˙stanbul Stock Exchange," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 959-971.
  187. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
  188. Richard Zuber & Patrick Yiu & Reinhold Lamb & John Gandar, 2005. "Investor-fans? An examination of the performance of publicly traded English Premier League teams," Applied Financial Economics, Taylor & Francis Journals, vol. 15(5), pages 305-313.
  189. Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer, vol. 22(1), pages 71-85, March.
  190. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
  191. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
  192. 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.
  193. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.
  194. Anchor Lin & Peggy Swanson, 2010. "Contrarian strategies and investor overreaction under price limits," Journal of Economics and Finance, Springer, vol. 34(4), pages 430-454, October.
  195. Mitchell, Jason D & Lian Ong, Li & Izan, H.Y, 2000. "Idiosyncrasies in Australian petrol price behaviour: evidence of seasonalities," Energy Policy, Elsevier, vol. 28(4), pages 243-258, April.
  196. Tang, G. Y. N. & Kwok, K-h., 1997. "Day of the week effect in international portfolio diversification: January vs non-January," Japan and the World Economy, Elsevier, vol. 9(3), pages 335-352, August.
  197. 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.
  198. 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.
  199. Vicente Meneu & Angel Pardo, . "El efecto "día festivo" en la Bolsa española," Studies on the Spanish Economy 95, FEDEA.
  200. Yuthana Sethapramote & Suthawan Prukumpai, 2012. "Souvenir production in community-based tourism and poverty reduction in Thailand," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(3), pages 113-130, September.
  201. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
  202. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  203. 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.
  204. 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, June.
  205. 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, Reading University.
  206. Nippani, Srinivas & Arize, Augustine C., 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, Elsevier, vol. 17(3), pages 157-171, August.
  207. repec:rej:journl:v:9:y:2006:i:21:p:65-69 is not listed on IDEAS
  208. repec:rej:journl:v:9:y:2006:i:21:p:57-63 is not listed on IDEAS
  209. 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.
  210. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  211. Hakan Berument & Halil Kiymaz, 2001. "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer, vol. 25(2), pages 181-193, June.
  212. Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics, University of Belgrade, vol. 56(191), pages 107 – 122, October-D.
  213. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
  214. Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
  215. Mehmet Hasan Eken & Taylan Ozgür Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
  216. 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.
  217. McSweeney, Brendan, 2009. "The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 835-848, August.
  218. repec:rej:journl:v:9:y:2006:i:21:p:101-105 is not listed on IDEAS
  219. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
  220. Faryad Hussain & Kashif Hamid & Rana Shahid Imdad Akash & Majid Imdad Khan, 2011. "Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)," Far East Journal of Psychology and Business, Far East Research Centre, vol. 3(3), pages 25-31, April.
  221. Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006. "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 123-139, Jul-Dec.
  222. Mookerjee, Rajen & Yu, Qiao, 1999. "Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen," Global Finance Journal, Elsevier, vol. 10(1), pages 93-105.
  223. Husain, Fazal, 2000. "The Day of the Week Effect in the Pakistani Equity Market: An Investigation," MPRA Paper 5268, University Library of Munich, Germany.
  224. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.