), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day … the week anomalies lies on the choice of model specified. …

seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is … volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity … returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and … Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in …

__Abstract__ The empirical properties of stock returns are studied for 10 companies listed at the Suriname Stock … Exchange (SSE), which is a young and growing stock market. Individual stock returns are found to be predictable from the own … past to some extent, but the equal-weighted index returns are not. Dynamic correlations with large Latin-American stock …

seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is … volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric …-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most … and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the …

significant Monday effect but smaller in magnitude. The extra returns may not seem to be economically significant, but when …

.5%, outperforming other investors. Evidence indicates that hedge funds act as arbitrageurs, generating their returns by trading on the …

.5%, outperforming other investors. Evidence indicates that hedge funds act as arbitrageurs, generating their returns by trading on the …