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Day-of-the-week effect on the Tunisian stock market return and volatility
16 references·1 citing·34 second hopsampled
Day-of-the-week effect on the Tunisian stock market return and volatility (2016)Day-of-the-week effect on the Tunisian st…The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market (2006)The effect of derivatives tra…Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approach (2004)Day-of-the-week effects in US…Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects (2001)Seasonality in Southeast Asia…Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland (2001)Modelling the volatility in E…The day-of-the-week effect: The international evidence (1996)The day-of-the-week effect: T…Day of the week effects: new evidence from an emerging stock market (1995)Day of the week effects: new …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Weekly Patterns in Japanese Stock Returns (1990)Weekly Patterns in Japanese S…Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)Seasonal and Day‐of‐the‐Week …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…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…Day of the Week and Weekend Effects in the Indian Stock Market (2018)Day of the Week and Weekend E…The Behavior of Stock-Market Prices (1965)Permanent and Temporary Components of Stock Prices (1988)ARCH modeling in finance (1992)A Survey of the Monday Effect Literature (2003)Day-of-the-week effects in emerging stock markets (2006)How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)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)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Capital market seasonality: The case of stock returns (1976)Size-related anomalies and stock return seasonality (1983)An Empirical Analysis of Stock Prices in Major Asian Markets and the United States (1992)Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)The day of the week effect on stock market volatility (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence775 cited
  • 1996The day-of-the-week effect: The international evidence257 cited
  • 1989Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets231 cited
  • 2001Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects189 cited
  • 1995Day of the week effects: new evidence from an emerging stock market143 cited
  • 1990Weekly Patterns in Japanese Stock Returns87 cited
  • 2001Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland79 cited
  • 2006The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market

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69 cited
  • 2004Day-of-the-week effects in US and Asia?Pacific stock markets during the Asian financial crisis: a non-parametric approach63 cited
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    • 2018Day of the Week and Weekend Effects in the Indian Stock Market16 cited