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The day of the week effect on stock market volatility

16 references·16 citing·24 second hopsampled

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References

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1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
1992ARCH modeling in finance4,288 cited
1987Expected stock returns and volatility4,147 cited
1980Stock returns and the weekend effect1,997 cited
1992No news is good news1,929 cited
1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
1986Stock return variances1,813 cited
1986Generalized autoregressive conditional heteroscedasticity1,810 cited
1981Day of the Week Effects and Asset Returns1,173 cited
1993How Markets Process Information: News Releases and Volatility970 cited
1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited

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1973

The Behavior of Stock Prices on Fridays and Mondays

826 cited

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