Yalcin, Yeliz; Yycel, Eray M. - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 258-277
This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW...