We investigate investor reaction to the arrival of unexpected information in Turkey from 1997 to 2004. Daily stock returns are used to test two behavioral hypotheses regarding investor reaction to news: The Overreaction Hypothesis (OH) and the Uncertain Information Hypothesis (UIH). We find no...

This article re-examines the Monday effect in the US stock market from 1964-1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings....

This paper employs linear and nonlinear Granger causality tests to re-examine the dynamic relation between daily Eurodollar and U.S. certificates of deposit rates during the July 16, 1973 to May 1, 2006 period. This study also conducts sub-period analysis based on the switching regression...