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ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS
16 references·1 citing·38 second hop
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1995Random Walks in Stock Market Prices1,227 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1991Volatility in the Foreign Currency Futures Market284 cited
  • 2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification

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61 cited
  • 2002Market Anomalies in the A.S.E: The Day of the Week Effect25 cited
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    • 2012DAY OF THE WEEK EFFECT IN CENTRAL EUROPEAN STOCK MARKETS16 cited