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

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References

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1987

Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects

192 cited

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1999The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-199433 cited
1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPI30 cited
1995Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash28 cited
1996The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935–9427 cited