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Seasonality of the covariance and correlation matrices of stock returns : Hong Kong evidence

Tang, Gordon Y. N. - In: Advances in Pacific Basin financial markets 6 (2000), pp. 125-135

Persistent link: https://www.econbiz.de/10001487759

The seasonal anomalies in the investors' fear gauge index

Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 247-254

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Turn-of-the-month effect : new evidence from an emerging stock market

Kayacetin, Volkan; Lekpek, Senad - In: Finance research letters 18 (2016), pp. 142-157

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A tale of two anomalies : higher returns of low-risk stocks and return seasonality

Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273

Persistent link: https://www.econbiz.de/10011282741

Volatility risk and january effect : evidence from Japan

Li, Jingya; Gong, Jian - In: International journal of economics and finance 7 (2015) 6, pp. 25-30

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On stock price overreactions : frequency, seasonality and information content

Caporale, Guglielmo Maria; Plastun, Alex - In: Journal of applied economics 22 (2019) 1, pp. 602-621

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...

Persistent link: https://www.econbiz.de/10012157453