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A posterior odds analysis of the weekend effect · Study

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ArticleA posterior odds analysis of the weekend effect

Robert A. Connolly1991

Article1991

A posterior odds analysis of the weekend effect

Robert A. Connolly

84 citations·0/0 files stored·Journal of Econometrics

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

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References

1987Expected stock returns and volatility 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 1980Stock returns and the weekend effect 1983Size-related anomalies and stock return seasonality 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1981Day of the Week Effects and Asset Returns 1990ARCH models as diffusion approximations 1984A Further Investigation of the Weekend Effect in Stock Returns

Cited by

2002Losing Sleep at the Market: Comment 2003Futures trading activity and predictable foreign exchange market movements 2003A Close Look at Short Selling on Nasdaq 1995Is there an election cycle in American stock returns?2004Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approach 2006Spot‐futures spread, time‐varying correlation, and hedging with currency futures

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1995Calendar effects in the London Stock Exchange FT–SE indicesother · 11 shared references 1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 11 shared references 1996The day-of-the-week effect: The international evidencearticle · 10 shared references 1991Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contractsarticle · 10 shared references 2001The day-of-the-week regularity in the stock markets of Chinaarticle · 10 shared references 2004Time Varying Volatility in the Indian Stock Marketarticle · 10 shared references

Details

Year1991

Typearticle

Published1991-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languagees

Citations84

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-4076(91)90010-b

openalex_workW2001363574

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2000

Security price anomalies in an emerging market: the case of the Athens Stock Exchange

2002The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997