Baker, H. Kent; Rahman, Abdul; Saadi, Samir - In: Review of Financial Economics 17 (2008) 4, pp. 280-295
We test for reliable evidence of the day-of-the-week effect on both the mean and volatility for the S&P/TSX Canadian return index. Unlike previous studies, we permit several specifications for the error distribution -- GARCH normal, Student's t, generalized error distribution, and double...