The day-of-the-week effect on stock-market volatility and return evidence from emerging markets
The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)
This service is more advanced with JavaScript available, learn more at http: Journal of Economics and Finance. The findings shown that the day of the week effect is present in both volatility and return equations.
While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
JEL G10, G12, C Part of Springer Nature. Not logged in Not affiliated The day of the week effect on stock market volatility. Cite this article as: J Econ Finan Evidence from Stock Markets in Eighteen Countries. New Evidence from an Emerging Market.
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The day of the week effect on stock market volatility | SpringerLink
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Bilkent University Ankara Turkey 2. Department of Finance, SBPA University of Houston-Clear Lake Houston. Publisher Name Springer US Print ISSN Online ISSN About this journal Reprints and Permissions.
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