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ArticleDaily seasonality in stock returns

Amado Peiró1994

Article1994

Daily seasonality in stock returns

47 citations·0/0 files stored·Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1980Stock returns and the weekend effect 1986Stock return variances 1985The Week-End Effect in Common Stock Returns: The International Evidence 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note 1982Weekend Effects on Stock Returns: A Note 1986Day-of-the-week and intraday effects in stock returns 1987The distribution of earnings news over time and seasonalities in aggregate stock returns 1987Day of the Week Effects On Stock Returns: International Evidence

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2008Day of the week seasonality in African stock markets 1995Daily seasonalities and stock market reforms in Spain 2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions 2011The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis 2014Is there a Friday the 13th effect in emerging Asian stock markets?2015Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis

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2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptionsarticle · 10 shared references 2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specificationarticle · 9 shared references 2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchangepreprint · 9 shared references 2004Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approacharticle · 8 shared references 1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 8 shared references 2002Market Anomalies in the A.S.E: The Day of the Week Effectpreprint · 8 shared references

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Year1994

Typearticle

Published1994-06-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations47

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0165-1765(94)90140-6

openalex_workW1511595559

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