The day of the week effect on stock market volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02744521.pdf
Reference42 articles.
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3. Akgiray, V. 1989. “Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecast.”Journal of Business 62: 55–80.
4. Alexakis, P., and M. Xanthakis. 1995. “Day of the Week Effect on the Greek Stock Market.”Applied Financial Economics 5: 43–50.
5. Baillie, R. T., and R. P. DeGennaro. 1990. “Stock Returns and Volatility.”Journal of Financial and Quantitative Analysis 25: 203–214.
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