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The turn-of-the-month-effect : evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) model

Giovanis, Eleftherios - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 43-61

first is the symmetric Generalized ARCH (1,1) model. However, previous studies found that volatility tends to increase more … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

Persistent link: https://www.econbiz.de/10010509192

Ramadan effect on stock market return and trade volume : evidence from Dhaka Stock Exchange (DSE)

Hassan, Md. Hashibul; Kayser, Md. Shahidullah - In: Cogent economics & finance 7 (2019) 1, pp. 1-10

studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar … Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

Persistent link: https://www.econbiz.de/10012023939

An Analysis of the Day of the Week Effect and the January Effect on the Stock Exchange of Mauritius

Bundoo, S.K. - 2010

This study investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly we also find a positive and significant Monday effect but smaller in magnitude. The...

Persistent link: https://www.econbiz.de/10013149252

Day-of-the-Week Effect Revisited : International Evidence

Dicle, Mehmet F. - 2014

The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect...

Persistent link: https://www.econbiz.de/10013071236

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Market Return Around the Clock : A Puzzle

Bondarenko, Oleg - 2020

We study how the excess market return depends on the time of the day using E-mini S&P 500 futures that are actively traded for almost 24 hours. Strikingly, four hours around European open account for the entire average market return. This period's returns are consistently positive in every year,...

Persistent link: https://www.econbiz.de/10012834630

Risk and Return Around the Clock

Fattinger, Felix - 2015

assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main … trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective … volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all …

Persistent link: https://www.econbiz.de/10013022677

Empirical Evidence on the Existence of Calendar Anomalies in the Market for Gold and Crude Oil

Jain, Vaishali - 2020

market for gold and crude oil in India. Ordinary least square regression analysis is used to examine the presence of day of … the week, turn of the year and turn of the month effects and to test the efficiency of the gold and crude oil market. The …

Persistent link: https://www.econbiz.de/10012845129

The adaptive market hypothesis and the day-of-the-week effect in African stock markets : the Markov Switching Model

Obalade, Adefemi Alamu; Muzindutsi, Paul-Francois - In: Comparative economic research : Central and Eastern Europe 22 (2019) 3, pp. 145-162

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market....

Persistent link: https://www.econbiz.de/10012120266

Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence

Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22

economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …

Persistent link: https://www.econbiz.de/10012627110

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