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Turn-of-the-month effect in three major emerging countries
16 references·2 citing·45 second hop
Turn-of-the-month effect in three major emerging countries (2020)Turn-of-the-month effect in three major e…Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Calendar effects, market cond…Efficient or adaptive markets? Evidence from major stock markets using very long run historic data (2013)Efficient or adaptive markets…Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011)Stock return predictability a…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)The dynamic relationship betw…Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)Turn-of-month and pre-holiday…Efficient Capital Markets: II (1991)Efficient Capital Markets: IITurn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects (1990)Turn-of-Month Evaluations of …High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…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 …Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market (2023)Day-of-the-week effect and vo…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…Capital market seasonality: The case of stock returns (1976)Size-related anomalies and stock return seasonality (1983)The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)Efficient Capital Markets and Martingales (1989)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)The Behavior of Stock-Market Prices (1965)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)A Further Investigation of the Weekend Effect in Stock Returns (1984)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Stock return variances (1986)The Role of Feelings in Investor Decision-Making (2005)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)International Evidence on the Robustness of the Day-of-the-Week Effect (1993)Hourly volatility spillovers between international equity markets (1994)The Individual Investor and the Weekend Effect (1994)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)
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References

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  • 1980Stock returns and the weekend effect1,997 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1987A monthly effect in stock returns720 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 2002The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence372 cited
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  • 1990Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects252 cited
  • 2013Efficient or adaptive markets? Evidence from major stock markets using very long run historic data

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186 cited
  • 2014Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data154 cited
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    • 2021Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia †29 cited
    • 2023Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market26 cited