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Realized volatility forecast : structural breaks, long memory, asymmetry, and day-of-the-week effect

Yang, Ke; Chen, Langnan - In: International review of finance 14 (2014) 3, pp. 345-392

Persistent link: https://www.econbiz.de/10011569547

Islamic calendar anomalies : evidence from Pakistani firm-level data

Halari, Anwar; Tantisantiwong, Nongnuch; Power, David M.; … - In: The quarterly review of economics and finance : journal … 58 (2015), pp. 64-73

Persistent link: https://www.econbiz.de/10011574069

The day of the week effecton returns, volatility and volume of Shariah index

Munusany, Dharani - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 608-618

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Day of the week effect and stock market volatility in Ghana and Nairobi stock exchanges

Gbeda, James Mark; Peprah, James Atta - In: Journal of economics and finance 42 (2018) 4, pp. 727-745

Persistent link: https://www.econbiz.de/10012031133

Volatility and calendar anomaly through GARCH model : evidence from the selected G20 stock exchanges

Mishra, Shraddha - In: International journal of business and globalisation : IJBG 19 (2017) 1, pp. 126-144

Persistent link: https://www.econbiz.de/10011847647

The day-of-the-week effect on Bitcoin return and volatility

Ma, Donglian; Tanizaki, Hisashi - In: Research in international business and finance 49 (2019), pp. 127-136

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The investor fear gauge index (VIX) : a case of Asia-Pacific securities market

Shaikh, Imlak; Tripathy, Arun K. - In: The empirical economics letters : a monthly … 16 (2017) 6, pp. 567-575

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

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The Day of the Week Effect on Stock Market Volatility

Berument, Hakan - 2018

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market … both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the … highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub …

Persistent link: https://www.econbiz.de/10012915052

The Day of the Week Effect on Stock Market Volatility and Volume : International Evidence

Berument, Hakan - 2018

This study investigates the day of the week effect on the volatility of major stock market indexes for the period of … return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and … the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility …

Persistent link: https://www.econbiz.de/10012915259