Are stock returns different over weekends? A jump diffusion analysis of the "weekend effect"

New England Economic Review

Volumn , Issue 5, 1999, Pages

  Fortune, Peter ^a  

^a NONE

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EID: 0039833714     PISSN: 00284726     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (17)

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2. Beckers, Stan. 1981. "A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns." Journal of Financial and Quantitative Analysis, 16, March, pp. 127-38.
3. Cox, John, and Stephen Ross. 1976. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics, 2, pp. 145-66.
4. Cross, Frank. 1973. "The Behavior of Stock Prices on Fridays and Mondays." Financial Analysts Journal, November/December, pp. 67-69.
5. Dyl, Edward. 1988. "A Possible Explanation of the Weekend Effect." Financial Analysts Journal, May/June, pp. 83-84.
6. Fortune, Peter. 1998. "A Primer on Stock Price Indices." Federal Reserve Bank of Boston, New England Economic Review, November/December, pp. 25-40.
7. French, Kenneth and Richard Roll. 1986. "Stock Price Variances: The Arrival of Information and the Reaction of Traders." Journal of Financial Economics, 17, September, pp. 5-26.
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9. Harris, Lawrence. 1986. "A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns." Journal of Financial Economics, 16, May, pp. 99-117.
10. Honore, Peter. 1998. "Pitfalls in Estimating Jump Diffusion Models." The Aarhus School of Business, Denmark, mimeo, January 24.
11. Johnson, Gordon and Thomas Schneeweiss. 1994. "Jump Diffusion Processes in the Foreign Exchange Markets and the Release of Macroeconomic News." Computational Economics 7, pp. 309-29.
12. Kim, Myung-Jug, Young-Ho Oh, and Robert Brooks. 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing." Journal of Financial and Quantitative Analysis, 29, December, pp. 609-31.
13. Merton, Robert. 1976. "Option Pricing When Underlying Stock Returns Are Discontinuous." Journal of Financial Economics, 3, January-March, pp. 125-44.
14. Miller, Edward. 1988. "Why a Weekend Effect?" Journal of Portfolio Management, 14, Summer, pp. 42-48.
15. Press, John. 1967. "A Compound Events Model for Security Prices." Journal of Business, 40, July, pp. 317-35.
16. Rogalski, Richard. 1984. "New Findings Regarding Day of the Week Returns Over Trading and Non-Trading Periods." Journal of Finance, 39, pp. 1603-14.
17. Ziemba, William. 1993. "Comment on 'Why a Weekend Effect?'" Journal of Portfolio Management, Winter, pp. 93-99.