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The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
16 references·1 citing·37 second hop
The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market? (2015)The Weekend Effect: An Exploitable Anomal…Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect (2003)Role of Speculative Short Sal…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation (2001)Modelling the day-of-the-week…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 Anomaly: The Role of Institutional Investors (1995)The Day-of-the-Week Anomaly: …Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…Investor Psychology and the Day-of-the-Week Effect (1989)Investor Psychology and the D…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …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…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 Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Market anomalies and data persistence: The case of the day-of-the-week effect (2019)Market anomalies and data per…The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)The day of the week effect on stock market volatility (2001)The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)Time Series Analysis: Forecasting and Control (1977)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)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Striking oil: Another puzzle? (2008)Limits of Arbitrage (2010)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)An Examination of the Robustness of the Weekend Effect (1989)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)The detection and estimation of long memory in stochastic volatility (1998)Estimation and interpretation of 1/fα noise in human cognition (2004)Persistence in the cryptocurrency market (2018)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 2002Anomalies and Market Efficiency547 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 2003Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect203 cited
  • 2000Day of the week effect in emerging Asian stock markets: evidence from the GARCH model170 cited
  • 1995The Day-of-the-Week Anomaly: The Role of Institutional Investors136 cited
  • 1989Investor Psychology and the Day-of-the-Week Effect84 cited

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  • 2001Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation61 cited
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    • 2019Market anomalies and data persistence: The case of the day-of-the-week effect28 cited