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A test of calendar seasonaliti...
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1
Is the January effect still alive in the futures markets?
Rondon, Juan
;
Ziemba, William T.
- In:
Financial markets and portfolio management
21
(
2007
)
3
,
pp. 381-396
Persistent link: https://www.econbiz.de/10003575859
Saved in:
2
The impact of stock index futures trading on daily returns seasonality : a multicountry study
Faff, Robert W.
;
McKenzie, Michael D.
- In:
The journal of business : B
75
(
2002
)
1
,
pp. 95-125
Persistent link: https://www.econbiz.de/10001641883
Saved in:
3
Predicting stock market volatility : a new measure
Fleming, Jeff
- In:
The journal of futures markets
15
(
1995
)
3
,
pp. 265-302
Persistent link: https://www.econbiz.de/10001180182
Saved in:
4
The daily distribution of changes in the price of stock index futures
Dyl, Edward A.
- In:
The journal of futures markets
6
(
1986
)
4
,
pp. 513-521
Persistent link: https://www.econbiz.de/10001135354
Saved in:
5
Weekend and day of the week effects in returns on stock index futures
Junkus, Joan C.
- In:
The journal of futures markets
6
(
1986
)
3
,
pp. 397-407
Persistent link: https://www.econbiz.de/10001135426
Saved in:
6
Seasonal effects in S&P 100 index option returns
Cotner, John S.
- In:
The journal of futures markets
13
(
1993
)
5
,
pp. 453-467
Persistent link: https://www.econbiz.de/10001145979
Saved in:
7
An intraweek seasonality in the implied volatilities of individual and index options
Morse, Joel N.
- In:
The financial review : the official publication of the …
26
(
1991
)
3
,
pp. 319-341
Persistent link: https://www.econbiz.de/10001143187
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8
Risk-adjusted day-of-the-week, day-of-the-month, and month-of-the-year effects on stock indexes and stock index futures
Khaksari, Shahriar
- In:
The financial review : the official publication of the …
27
(
1992
)
4
,
pp. 531-552
Persistent link: https://www.econbiz.de/10001143738
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9
The pan-European holiday effect
Carchano, Óscar
;
Pardo, Ángel
- In:
Spanish journal of finance and accounting
44
(
2015
)
166
,
pp. 134-145
Persistent link: https://www.econbiz.de/10011555368
Saved in:
10
Security market anomalies in Finland
Martikainen, Teppo
- In:
Security market imperfections in worldwide equity markets
,
(pp. 390-415)
.
2000
Persistent link: https://www.econbiz.de/10001506432
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