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The day of the week effect on stock market volatility · Study

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ArticleThe day of the week effect on stock market volatility

Hakan Berument A2001

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Articlegreen2001

The day of the week effect on stock market volatility

Hakan Berument A · Halil Kiymaz

339 citations·0/0 files stored·Journal of Economics and Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1987Expected stock returns and volatility 1980Stock returns and the weekend effect 1992No news is good news

Cited by

2003The day of the week effect on stock market volatility and volume: International evidence 2004The disappearing day-of-the-week effect in the world's largest equity markets 2006Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets 2020The effect of oil and stock price volatility on firm level investment: The case of UK firms

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2003The day of the week effect on stock market volatility and volume: International evidencearticle · 22 shared references 2011The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysisarticle · 17 shared references 2006The day-of-the-week effect on stock-market volatility and return: Evidence from emerging marketsarticle · 14 shared references 2004Time Varying Volatility in the Indian Stock Marketarticle · 13 shared references 2007The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptionsarticle · 13 shared references 2014The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchangepreprint · 13 shared references

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Year2001

Typearticle

Published2001-06-01

VenueJournal of Economics and Finance

ISSN-L1055-0925

Languageen

Citations339

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/bf02744521

openalex_workW2095808707

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