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Day-of-the-week effects: evidence from developing stock markets

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1999Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China66 cited
2006The Disappearing Calendar Anomalies in the Singapore Stock Market

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2004Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approach63 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

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2002The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-199756 cited

2008Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange54 cited

1996Short-sales restrictions and volatility The case of the Stock Exchange of Singapore52 cited

1994Daily seasonality in stock returns47 cited

2007Calendar anomaly in the Greek stock market: Stochastic dominance analysis45 cited

2005A re-examination of the holiday effect in stock returns: the case of Hong Kong42 cited

1995Daily seasonalities and stock market reforms in Spain42 cited

2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions39 cited

2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange38 cited