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Intraweek and intraday seasonalities in stock market risk premia: Cash and futures · Study

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ArticleIntraweek and intraday seasonalities in stock market risk premia: Cash and futures

Pradeep K. Yadav1992

Article1992

Intraweek and intraday seasonalities in stock market risk premia: Cash and futures

Pradeep K. Yadav · Peter F. Pope

64 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1980Stock returns and the weekend effect 1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 1986A transaction data study of weekly and intradaily patterns in stock returns

Cited by

1995Dax index futures: Mispricing and arbitrage in German markets 2004Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange 2001Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market 2013Intraday Patterns in FX Returns and Order Flow 2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions 2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange

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2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchangepreprint · 15 shared references 1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 13 shared references 2009Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchangearticle · 13 shared references 2003A Survey of the Monday Effect Literaturearticle · 12 shared references 1995Day of the week effect on the Greek stock marketarticle · 12 shared references 2012The day-of-the-week effect revisited: international evidencearticle · 12 shared references

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Year1992

Typearticle

Published1992-02-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations64

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(92)90087-g

openalex_workW2018668193

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1999The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994

1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPI