Tang, Gordon - In: The European Journal of Finance 2 (1996) 4, pp. 333-351
This paper examines the day-of-the-week effect on skewness and kurtosis of stock returns of six international stock markets using a new approach. Empirical results show that a day-of-the-week effect exists on the skewness and kurtosis of all stock markets except the US market. The portfolio...