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Weekend and day of the week effects in returns on stock index futures
13 references·7 citing·32 second hop
Weekend and day of the week effects in returns on stock index futures (1986)Weekend and day of the week effects in re…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The Weekly Pattern in Stock Returns: Cash versus Futures: A Note (1985)The Weekly Pattern in Stock R…Orange Juice and Weather (1984)Orange Juice and WeatherNew Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Weekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…Gold and the “weekend effect” (1982)Gold and the “weekend effect”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 pricing of commodity contracts (1976)The pricing of commodity cont…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …A brief history and recent developments in day‐of‐the‐week effect literature (2011)A brief history and recent de…The decline of calendar seasonality in the Australian stock exchange, 1958–2005 (2008)The decline of calendar seaso…The Value of USDA Situation and Outlook Information in Hog and Cattle Markets (2005)The Value of USDA Situation a…Daily futures price changes and non-linear dynamics (1994)Daily futures price changes a…Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures (1992)Risk‐Adjusted Day‐of‐the‐Week…International trading/nontrading time effects on risk estimation in futures markets (1990)International trading/nontrad…Index and Index-Futures Returns (1989)Index and Index-Futures Retur…Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Asset Pricing (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)Facts and Fantasies about Commodity Futures (2006)The Behavior of Stock-Market Prices (1965)Book Review: Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Introductory Econometrics for Finance (2008)Size-related anomalies and stock return seasonality (1983)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Investor Inattention and Friday Earnings Announcements (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Tomorrow on the New York Stock Exchange (1965)A transaction data study of weekly and intradaily patterns in stock returns (1986)A monthly effect in stock returns (1987)The Dependence between Hourly Prices and Trading Volume (1988)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1976The pricing of commodity contracts2,859 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns937 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1984Orange Juice and Weather540 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1985The Weekly Pattern in Stock Returns: Cash versus Futures: A Note95 cited
  • 1982Gold and the “weekend effect”84 cited

Cited by

  • 2005The Value of USDA Situation and Outlook Information in Hog and Cattle Markets60 cited
  • 1989Index and Index-Futures Returns30 cited

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2008
The decline of calendar seasonality in the Australian stock exchange, 1958–2005
29 cited
  • 1994Daily futures price changes and non-linear dynamics27 cited
  • 2011A brief history and recent developments in day‐of‐the‐week effect literature22 cited
  • 1990International trading/nontrading time effects on risk estimation in futures markets19 cited
  • 1992Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures19 cited