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The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect...
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This paper investigates calendar anomalies for three highly developed EU stock markets (Germany, France, Austria) and their recently developed EU counterparts (Portugal and Greece). Five well known calendar effects on both return and volatility are examined; the day of the week, the January, the...
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We investigate the day-of-the-week effect in relation to bid ask spreads determinants by employing a comprehensive dataset of international equity markets from 2000 until 2015 incorporating different market phases, such as various booms and crashes. To this end, we apply a battery of tests...
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The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20,...
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