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Seasonal anomalies in advanced emerging stock markets
16 references·9 citing·36 second hop
Seasonal anomalies in advanced emerging stock markets (2017)Seasonal anomalies in advanced emerging s…The law and economics of self-dealing (2008)The law and economics of self…What Works in Securities Laws? (2006)What Works in Securities Laws?Winter Blues: A SAD Stock Market Cycle (2003)Winter Blues: A SAD Stock Mar…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …No news is good news (1992)No news is good newsAre Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…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…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market (2023)Day-of-the-week effect and vo…Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures (2021)Systemically important banks …Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia † (2021)Day‐of‐the‐week effect and ma…Calendar anomalies in the stock markets: conventional vs Islamic stock indices (2021)Calendar anomalies in the sto…Rise and fall of calendar anomalies over a century (2019)Rise and fall of calendar ano…Market anomalies and data persistence: The case of the day-of-the-week effect (2019)Market anomalies and data per…The seasonality of gold prices in China does the risk‐aversion level matter? (2018)The seasonality of gold price…The role of stock price synchronicity on the return-sentiment relation (2018)The role of stock price synch…The day-of-the-week pattern of price clustering in Bitcoin (2018)The day-of-the-week pattern o…Statistical principles in experimental design. (1962)Time Series Analysis: Forecasting and Control (1977)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)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)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Problem of Social Cost (1960)Crime and Punishment: An Economic Approach (1968)Law and Finance (1998)Finance and Growth: Theory and Evidence (2004)Law, finance, and economic growth in China (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)On the Impossibility of Informationally Efficient Markets (1980)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Asymmetric correlations of equity portfolios (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Economic Consequences of Legal Origins (2008)Women on Boards and Firm Financial Performance: A Meta-Analysis (2014)Do institutional investors drive corporate social responsibility? International evidence (2018)Econometric Analysis of Cross Section and Panel Data (2001)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2008The law and economics of self-dealing3,514 cited
  • 2006What Works in Securities Laws?2,787 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1992No news is good news1,929 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 2003Winter Blues: A SAD Stock Market Cycle1,105 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1983The anomalous stock market behavior of small firms in January

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848 cited

Cited by

  • 2019Rise and fall of calendar anomalies over a century53 cited
  • 2018The day-of-the-week pattern of price clustering in Bitcoin34 cited
  • 2021Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia †29 cited
  • 2019Market anomalies and data persistence: The case of the day-of-the-week effect28 cited
  • 2023Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market26 cited
  • 2018The role of stock price synchronicity on the return-sentiment relation24 cited
  • 2021Calendar anomalies in the stock markets: conventional vs Islamic stock indices23 cited
  • 2018The seasonality of gold prices in China does the risk‐aversion level matter?21 cited
  • 2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures18 cited