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ArticleThe weekend effect on the distribution of stock prices

Dan W. French1984

Article1984

The weekend effect on the distribution of stock prices

61 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns

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1995Predicting Volatility in the Foreign Exchange Market 2010The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 2002Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market 2002An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey 1991A unified method for pricing options on diffusion processes 2017Option Mispricing around Nontrading Periods

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Year1984

Typearticle

Published1984-12-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations61

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(84)90015-1

openalex_workW1528736680

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1996The predictive power of implied stochastic variance from currency options

2003The Reversing Weekend Effect: Evidence from the U.S. Equity Markets