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Calendar anomalies in cash and stock index futures: International evidence
14 references·8 citing·44 second hop
Calendar anomalies in cash and stock index futures: International evidence (2013)Calendar anomalies in cash and stock inde…The day-of-the-week effects on the volatility: The role of the asymmetry (2009)The day-of-the-week effects o…Stock market returns and the temperature effect: new evidence from Europe (2008)Stock market returns and the …The evolution of the January effect (2007)The evolution of the January …The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets (2004)The Disappearing January/Turn…Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear GARCH model (2001)Month of the year effect and …Security price anomalies in the London International Stock Exchange: a 60 year perspective (1997)Security price anomalies in t…Holiday Trading in Futures Markets (1994)Holiday Trading in Futures Ma…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Weekly Pattern in Stock Returns: Cash versus Futures: A Note (1985)The Weekly Pattern in Stock R…The Turn-of-the-Year in Canada (1984)The Turn-of-the-Year in CanadaA Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Vas Ist Das? (1983)Vas Ist Das?Stock market seasonality (1983)Stock market seasonalityDay-of-the-week effect and volatility in stock returns: evidence from the Indian stock market (2023)Day-of-the-week effect and vo…The day-of-the-week-effect on the volatility of commodities (2021)The day-of-the-week-effect on…Adaptive calendar effects and volume of extra returns in the cryptocurrency market (2021)Adaptive calendar effects and…A guide on empirical tests of the EMH (2019)A guide on empirical tests of…Revisiting calendar anomalies: Three decades of multicurrency evidence (2016)Revisiting calendar anomalies…Do the calendar anomalies still exist? Evidence from Indian currency market (2016)Do the calendar anomalies sti…An empirical test of calendar anomalies for the Indian securities markets (2016)An empirical test of calendar…Turn-of-month effect in the Indian currency market (2015)Turn-of-month effect in the I…The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Examination of the Robustness of the Weekend Effect (1989)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)Weekly Patterns in Japanese Stock Returns (1990)Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts (1991)Linear and Nonlinear Causality between Corn Cash and Futures Prices (2017)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)Additional Evidence on Integration in the Canadian Stock Market (1992)Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis (2002)Are Monthly Seasonals Real? A Three Century Perspective (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Sentiment and stock returns: The SAD anomaly revisited (2009)On the relationship between weather and stock market returns (2011)Online Portfolio Selection: A Survey (2012)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The monthly and trading month effects in Greek stock market returns: 1996‐2002 (2008)Calendar Anomalies in the Ghana Stock Exchange (2009)The January effect across volatility regimes (2010)Anomalies: The January Effect (1987)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)Periodic market closure and trading volume (1992)Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly (2005)Seasonality, risk and return in daily COMEX gold and silver data 1982–2002 (2006)Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns (2014)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)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1983Stock market seasonality573 cited
  • 1983Vas Ist Das?429 cited
  • 1984The Turn-of-the-Year in Canada169 cited
  • 1997Security price anomalies in the London International Stock Exchange: a 60 year perspective126 cited
  • 1985The Weekly Pattern in Stock Returns: Cash versus Futures: A Note95 cited
  • 2007The evolution of the January effect92 cited
  • 2001Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear GARCH model72 cited
  • 1994Holiday Trading in Futures Markets66 cited
  • 2009The day-of-the-week effects on the volatility: The role of the asymmetry54 cited
  • 2004The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets47 cited
  • 2008Stock market returns and the temperature effect: new evidence from Europe40 cited

Cited by

  • 2016Revisiting calendar anomalies: Three decades of multicurrency evidence

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27 cited
  • 2023Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market26 cited
  • 2016Do the calendar anomalies still exist? Evidence from Indian currency market26 cited
  • 2021The day-of-the-week-effect on the volatility of commodities23 cited
  • 2015Turn-of-month effect in the Indian currency market23 cited
  • 2021Adaptive calendar effects and volume of extra returns in the cryptocurrency market22 cited
  • 2019A guide on empirical tests of the EMH21 cited
  • 2016An empirical test of calendar anomalies for the Indian securities markets20 cited