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Seasonality in outliers of daily stock returns: A tail that wags the dog? · Study

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ArticleSeasonality in outliers of daily stock returns: A tail that wags the dog?

Dan Galai2008

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Articlegreen2008

Seasonality in outliers of daily stock returns: A tail that wags the dog?

Dan Galai · Haim Kedar‐Levy · Ben Z. Schreiber

24 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1980Stock returns and the weekend effect 1983Size-related anomalies and stock return seasonality 1981Day of the Week Effects and Asset Returns 1983The anomalous stock market behavior of small firms in January 1983Biases in computed returns

Cited by

2021The day-of-the-week-effect on the volatility of commodities 2012Is the EUA a new asset class?2012Day-of-the-week effect on the VIX. A parsimonious representation 2011A brief history and recent developments in day‐of‐the‐week effect literature 2015Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect 2017The “Sell in May” effect: A review and new empirical evidence

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Year2008

Typearticle

Published2008-03-04

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.irfa.2007.12.001

openalex_workW3122214217

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