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An Examination of the Robustness of the Weekend Effect
16 references·16 citing·32 second hopsampled
An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustness of the W…The variation of certain speculative prices (1997)The variation of certain spec…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…The theory and practice of econometrics (1986)The theory and practice of ec…Stock return variances (1986)Stock return variancesModelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…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…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Calendar effects, market cond…Religion, the Nature of Ultimate Owner, and Corporate Philanthropic Giving: Evidence from China (2013)Religion, the Nature of Ultim…Equity Returns at the Turn of the Month (2008)Equity Returns at the Turn of…Disappearing anomalies: a dynamic analysis of the persistence of anomalies (2006)Disappearing anomalies: a dyn…Weather, biorhythms, beliefs and stock returns—Some preliminary Irish evidence (2004)Weather, biorhythms, beliefs …Price discovery in the hang seng index markets: Index, futures, and the tracker fund (2004)Price discovery in the hang s…The turn-of-the-month effect still lives: the international evidence (2003)The turn-of-the-month effect …Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model (2001)Empirical Analysis of Stock R…Day of the week effect in emerging Asian stock markets: evidence from the GARCH model (2000)Day of the week effect in eme…The day-of-the-week effect: The international evidence (1996)The day-of-the-week effect: T…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Alternative Models for the Conditional Heteroscedasticity of Stock Returns (1994)Alternative Models for the Co…International Evidence on the Robustness of the Day-of-the-Week Effect (1993)International Evidence on the…The italian stock market (1990)The italian stock marketA 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? 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An Empirical Exploration of Idiosyncratic Risk (2001)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1986Stock return variances1,813 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited

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1985
The Week-End Effect in Common Stock Returns: The International Evidence
771 cited

Cited by

  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1994The Individual Investor and the Weekend Effect333 cited
  • 1993International Evidence on the Robustness of the Day-of-the-Week Effect261 cited
  • 1996The day-of-the-week effect: The international evidence257 cited
  • 2013Religion, the Nature of Ultimate Owner, and Corporate Philanthropic Giving: Evidence from China221 cited
  • 1990The italian stock market196 cited
  • 1994Alternative Models for the Conditional Heteroscedasticity of Stock Returns194 cited
  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 2006Disappearing anomalies: a dynamic analysis of the persistence of anomalies175 cited
  • 2000Day of the week effect in emerging Asian stock markets: evidence from the GARCH model170 cited
  • 2014Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data154 cited
  • 2008Equity Returns at the Turn of the Month138 cited
  • 2004Weather, biorhythms, beliefs and stock returns—Some preliminary Irish evidence135 cited
  • 2004Price discovery in the hang seng index markets: Index, futures, and the tracker fund132 cited
  • 2003The turn-of-the-month effect still lives: the international evidence132 cited
  • 2001Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model127 cited