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An Econometric Analysis of African Stock Market : Annual Returns Analysis, Day-of-the-Week Effect and Volatility of Returns

Chukwuogor, Chiaku Nwamu - 2010

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of …-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous …

Persistent link: https://www.econbiz.de/10014199221

Irregularities in forward-looking volatility

Qadan, Mahmoud; Nisani, Doron; Eichel, Ron - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 489-501

Persistent link: https://www.econbiz.de/10014249179

Volatility and the Day of the Week Effect on Bitcoin Returns

Emikönel, Murat - 2022

increases and decreases in its price caused high volatility. For this reason, in this study, it is aimed to determine the … volatility in Bitcoin returns with the effect of the day of the week. In this direction, the result of the analysis has been … was determined that the day with the highest return was Monday and the day with the highest volatility in return was …

Persistent link: https://www.econbiz.de/10013301028

Day of the Week Effect on Stock Market Returns and Volatility : Evidence from Dhaka Stock Exchange

Saha, Debashis - 2022

The main purpose of this paper is to examine the day of the week effect on stock market return and volatility in Dhaka … volatility. The results show that highest and lowest returns are observed on Tuesday and Sunday, respectively based on GARCH (1 …,1), TGARCH (1,1), and EGARCH (1,1) model. And highest and lowest volatility are observed on Thursday and Sunday, respectively …

Persistent link: https://www.econbiz.de/10013404166

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de/10014500847

The daily rise and fall of the VIX1D : causes and solutions of its overnight bias

Albers, Stefan; Kestner, Lars N. - In: Finance research letters 62 (2024) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10014530970

Day of the Week Effect on VIX : A Parsimonious Representation

Gonzalez-Perez, Maria T. - 2012

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given...

Persistent link: https://www.econbiz.de/10013109839

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz Ur; Naseem, … - In: Cogent business & management 10 (2023) 1, pp. 1-25

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...

Persistent link: https://www.econbiz.de/10014466532

Estimation and forecasting of stock volatility with range-based estimators

Vipul, Joshy Jacob - In: The journal of futures markets 28 (2008) 6, pp. 561-581

Persistent link: https://www.econbiz.de/10003715011

The dynamic relationship between price and trading volume : evidence from Indian stock market

Kumar, Brajesh; Singh, Priyanka D.; Pandey, Ajay - 2009

Persistent link: https://www.econbiz.de/10003913882