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Day of the week effect in emerging Asian stock markets: evidence from the GARCH model
16 references·16 citing·37 second hopsampled
Day of the week effect in emerging Asian stock markets: evidence from the GARCH model (2000)Day of the week effect in emerging Asian …Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…ARCH modeling in finance (1992)ARCH modeling in financePersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic (2021)Volatility Modeling: An Overv…On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia (2021)On spillover effects between …COVID ‐19 impact on stock market: Evidence from the Indian stock market (2021)COVID ‐19 impact on stock mar…Impact of market anomalies on stock exchange: a comparative study of KSE and PSX (2020)Impact of market anomalies on…The day-of-the-week effect on Bitcoin return and volatility (2019)The day-of-the-week effect on…When the Fed Speaks: Arguments, Emotions, and the Microfoundations of Institutions (2018)When the Fed Speaks: Argument…Tail dependence networks of global stock markets (2018)Tail dependence networks of g…Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect (2018)Cryptocurrencies from the per…Factors Influencing Green Purchase Intention among University Students (2014)Factors Influencing Green Pur…Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)Weak-form Market Efficiency a…Market efficiency and international diversification: Evidence from India (2009)Market efficiency and interna…The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions (2007)The day‐of‐the‐week effect an…Seasonality, risk and return in daily COMEX gold and silver data 1982–2002 (2006)Seasonality, risk and return …Seasonality in the Asia Pacific stock markets (2005)Seasonality in the Asia Pacif…The Asian crisis and calendar effects on stock returns in Thailand (2004)The Asian crisis and calendar…Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification (2003)Stability of the day of the w…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1986Stock return variances1,813 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1989

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Modeling Heteroscedasticity in Daily Foreign-Exchange Rates
505 cited

Cited by

  • 2006Seasonality, risk and return in daily COMEX gold and silver data 1982–2002105 cited
  • 2018When the Fed Speaks: Arguments, Emotions, and the Microfoundations of Institutions101 cited
  • 2018Tail dependence networks of global stock markets89 cited
  • 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets86 cited
  • 2019The day-of-the-week effect on Bitcoin return and volatility80 cited
  • 2004The Asian crisis and calendar effects on stock returns in Thailand80 cited
  • 2020Impact of market anomalies on stock exchange: a comparative study of KSE and PSX69 cited
  • 2014Factors Influencing Green Purchase Intention among University Students61 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 specification61 cited
  • 2005Seasonality in the Asia Pacific stock markets49 cited
  • 2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect49 cited
  • 2021COVID ‐19 impact on stock market: Evidence from the Indian stock market48 cited
  • 2021On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia46 cited
  • 2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions39 cited
  • 2021Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic39 cited
  • 2009Market efficiency and international diversification: Evidence from India39 cited