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Daily seasonality in stock returns

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References

1980Stock returns and the weekend effect1,997 cited
1986Stock return variances1,813 cited
1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
1982Weekend Effects on Stock Returns: A Note460 cited
1986Day-of-the-week and intraday effects in stock returns341 cited
1987The distribution of earnings news over time and seasonalities in aggregate stock returns305 cited
1987Day of the Week Effects On Stock Returns: International Evidence146 cited
1931Stock Prices: A Problem in Verification146 cited
1989A Reappraisal of the Efficiency of Financial Markets128 cited
1988Why a weekend effect125 cited
1992Day-of-the-week effects: evidence from developing stock markets97 cited

Cited by

2008Day of the week seasonality in African stock markets47 cited
1995Daily seasonalities and stock market reforms in Spain42 cited
2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions39 cited

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2011The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis38 cited

2014Is there a Friday the 13th effect in emerging Asian stock markets?28 cited

2015Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis21 cited