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The impact of thin trading on day‐of‐the‐week effect
16 references·0 citing·40 second hop
The impact of thin trading on day‐of‐the‐week effect (2008)The impact of thin trading on day‐of‐the‐…Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Alternative Variance-Ratio Te…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Stocks for the Long Run (1994)Stocks for the Long RunMean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994)Mean Reversion of Standard & …Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)The day of the week effect on stock market volatility (2001)The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)Time Series Analysis: Forecasting and Control (1977)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Drawing inferences from statistics based on multiyear asset returns (1989)A simple multiple variance ratio test (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Global Stock Markets in the Twentieth Century (1999)A multivariate model of strategic asset allocation (2002)Sources of Lifetime Inequality (2011)
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References

  • 1980Stock returns and the weekend effect1,997 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1994Stocks for the Long Run567 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 2000Alternative Variance-Ratio Tests Using Ranks and Signs394 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited

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  • 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?303 cited
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