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Seasonal anomalies of stocks in ASEAN equity markets
16 references·1 citing·37 second hop
Seasonal anomalies of stocks in ASEAN equity markets (2004)Seasonal anomalies of stocks in ASEAN equ…The Day-of-the-Week Anomaly: The Role of Institutional Investors (1995)The Day-of-the-Week Anomaly: …An investigation of the robustness of the day-of-the-week effect in Australia (1994)An investigation of the robus…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Day-of-the-week effects: evidence from developing stock markets (1992)Day-of-the-week effects: evid…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…Stock Return Seasonalities in Asia Pacific Markets* (1990)Stock Return Seasonalities in…A twist on the Monday effect in stock prices (1989)A twist on the Monday effect …Capitalizing on the weekend effect (1988)Capitalizing on the weekend e…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects (1985)Patterns in Japanese Common S…New 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…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…An examination of calendar anomalies: evidence from the Thai stock market (2021)An examination of calendar an…The Behavior of Stock-Market Prices (1965)Estimating betas from nonsynchronous data (1977)The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)Short-Sale Restrictions and Market Reaction to Short-Interest Announcements (1993)The Individual Investor and the Weekend Effect (1994)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Equity issues and offering dilution (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Earnings news and small traders (1992)Inferring investor behavior: Evidence from TORQ data (2000)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)Econometric Models and Economic Forecasts (1990)Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets (1998)Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)The Behavior of Stock Prices on Fridays and Mondays (1973)An Examination of the Robustness of the Weekend Effect (1989)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)Econometric Analysis of Cross Section and Panel Data (2001)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 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
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1985Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects246 cited
  • 1989A twist on the Monday effect in stock prices141 cited
  • 1995The Day-of-the-Week Anomaly: The Role of Institutional Investors136 cited
  • 1990Stock Return Seasonalities in Asia Pacific Markets*135 cited
  • 1992Day-of-the-week effects: evidence from developing stock markets97 cited
  • 1988Capitalizing on the weekend effect

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61 cited
  • 1994An investigation of the robustness of the day-of-the-week effect in Australia44 cited
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    • 2021An examination of calendar anomalies: evidence from the Thai stock market21 cited