메뉴 건너뛰기




Volumn 11, Issue 3, 2004, Pages 167-171

The disappearing day-of-the-week effect in the world's largest equity markets

Author keywords

[No Author keywords available]

Indexed keywords

EQUITY; STOCK MARKET;

EID: 33745787892     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/1350485042000203797     Document Type: Article
Times cited : (72)

References (21)
  • 1
    • 0001913449 scopus 로고
    • Anomalies or illusions? Evidence from stock markets in eighteen countries
    • Aggarwal A., Tandon K. Anomalies or illusions? Evidence from stock markets in eighteen countries Journal of International Money and Finance 1994; 13: 83-106
    • (1994) Journal of International Money and Finance , vol.13 , pp. 83-106
    • Aggarwal, A.1    Tandon, K.2
  • 2
    • 4744357808 scopus 로고    scopus 로고
    • Stock returns, seasonality and asymmetric conditional volatility in World Equity Markets
    • Balaban E., Bayar A., Kan, Ö B. Stock returns, seasonality and asymmetric conditional volatility in World Equity Markets Applied Economics Letters 2001; 8: 263-8
    • (2001) Applied Economics Letters , vol.8 , pp. 263-268
    • Balaban, E.1    Bayar, A.2    Kan, Ö.B.3
  • 3
    • 0001117062 scopus 로고
    • The Italian Stock Market: Efficiency and calendar anomalies
    • Barone E. The Italian Stock Market: Efficiency and calendar anomalies Journal of Banking and Finance 1990; 14: 483-510
    • (1990) Journal of Banking and Finance , vol.14 , pp. 483-510
    • Barone, E.1
  • 4
    • 0242618277 scopus 로고    scopus 로고
    • The day of the week effect on stock market volatility
    • Berument H., Kiymaz H. The day of the week effect on stock market volatility Journal of Economics and Finance 2001; 25: 181-93
    • (2001) Journal of Economics and Finance , vol.25 , pp. 181-193
    • Berument, H.1    Kiymaz, H.2
  • 5
    • 33745077889 scopus 로고    scopus 로고
    • Seasonality in Southeast Asian stock markets: Some new evidence on the day-of-the-week effects
    • Brooks C., Persand G. Seasonality in Southeast Asian stock markets: Some new evidence on the day-of-the-week effects Applied Economics Letters 2001; 8: 155-8
    • (2001) Applied Economics Letters , vol.8 , pp. 155-158
    • Brooks, C.1    Persand, G.2
  • 6
    • 0039776537 scopus 로고    scopus 로고
    • Some additional Australian evidence on the day-of-the-week effect
    • Davidson S., Faff R. Some additional Australian evidence on the day-of-the-week effect Applied Economics Letters 1999; 6: 247-9
    • (1999) Applied Economics Letters , vol.6 , pp. 247-249
    • Davidson, S.1    Faff, R.2
  • 7
    • 0030295401 scopus 로고    scopus 로고
    • The day-of-the-week effect: The international evidence
    • Dubois M., Louvet P. The day-of-the-week effect: The international evidence Journal of Banking and Finance 1996; 20: 1463-85
    • (1996) Journal of Banking and Finance , vol.20 , pp. 1463-1485
    • Dubois, M.1    Louvet, P.2
  • 8
    • 84977707304 scopus 로고
    • From T-bills to common stocks: Investigating the generality of intra-week return seasonality
    • Flannery M. J., Protopapadakis A. A. From T-bills to common stocks: investigating the generality of intra-week return seasonality Journal of Finance 1988; 43: 431-50
    • (1988) Journal of Finance , vol.43 , pp. 431-450
    • Flannery, M.J.1    Protopapadakis, A.A.2
  • 9
    • 0000334056 scopus 로고
    • Day-of-the-week effects and asset returns
    • Gibbons M. R., Hess P. Day-of-the-week effects and asset returns Journal of Business 1981; 54: 579-96
    • (1981) Journal of Business , vol.54 , pp. 579-596
    • Gibbons, M.R.1    Hess, P.2
  • 10
    • 80051899787 scopus 로고
    • The weekend effect in common stock returns: The international evidence
    • Jaffe J., Westerfield R. The weekend effect in common stock returns: The international evidence Journal of Finance 1985; 40: 433-54
    • (1985) Journal of Finance , vol.40 , pp. 433-454
    • Jaffe, J.1    Westerfield, R.2
  • 11
    • 1942491710 scopus 로고    scopus 로고
    • An investigation of the day-of-the-week effect in Korea: Has the anomalous effect vanished in the 1990s?
    • Kamath R., Chusanachoti J. An investigation of the day-of-the-week effect in Korea: Has the anomalous effect vanished in the 1990s? International Journal of Business 2002; 7: 47-62
    • (2002) International Journal of Business , vol.7 , pp. 47-62
    • Kamath, R.1    Chusanachoti, J.2
  • 12
    • 84944835445 scopus 로고
    • A further investigation of the weekend effect in stock returns
    • Keim D. B., Stambaugh R. F. A further investigation of the weekend effect in stock returns Journal of Finance 1984; 39: 819-35
    • (1984) Journal of Finance , vol.39 , pp. 819-835
    • Keim, D.B.1    Stambaugh, R.F.2
  • 13
    • 84963120294 scopus 로고
    • The impact of firm size differences on the day-of-the-week effect: A comparison of major stock exchanges
    • Kohers T., Kohers G. The impact of firm size differences on the day-of-the-week effect: A comparison of major stock exchanges Applied Financial Economics 1995; 5: 151-60
    • (1995) Applied Financial Economics , vol.5 , pp. 151-160
    • Kohers, T.1    Kohers, G.2
  • 14
    • 0000277728 scopus 로고
    • Are seasonal anomalies real? A ninety-year perspective
    • Lakonishok J., Smidt S. Are seasonal anomalies real? A ninety-year perspective Review of Financial Studies 1988; 1: 403-25
    • (1988) Review of Financial Studies , vol.1 , pp. 403-425
    • Lakonishok, J.1    Smidt, S.2
  • 16
    • 0005770946 scopus 로고
    • Daily seasonalities and stock market reform in Spain
    • Pena J. I. Daily seasonalities and stock market reform in Spain Applied Financial Economics 1995; 5: 419-23
    • (1995) Applied Financial Economics , vol.5 , pp. 419-423
    • Pena, J.I.1
  • 17
    • 38249036784 scopus 로고
    • The distribution of earnings news over time and seasonalities in aggregate stock returns
    • Penman S. H. The distribution of earnings news over time and seasonalities in aggregate stock returns Journal of Financial Economics 1987; 56: 199-228
    • (1987) Journal of Financial Economics , vol.56 , pp. 199-228
    • Penman, S.H.1
  • 18
    • 84944830455 scopus 로고
    • New findings regarding day-of-the-week returns over trading and non-trading periods: A note
    • Rogalski R. J. New findings regarding day-of-the-week returns over trading and non-trading periods: A note Journal of Finance 1984; 39: 1603-14
    • (1984) Journal of Finance , vol.39 , pp. 1603-1614
    • Rogalski, R.J.1
  • 19
    • 0000059749 scopus 로고
    • Day of the week and intraday effects in stock returns
    • Smirlock M., Starks L. Day of the week and intraday effects in stock returns Journal of Financial Economics 1986; 17: 197-210
    • (1986) Journal of Financial Economics , vol.17 , pp. 197-210
    • Smirlock, M.1    Starks, L.2
  • 20
    • 0042908773 scopus 로고    scopus 로고
    • A note on information seasonality and the disappearance of the weekend effect in the UK stock market
    • Steeley J. M. A note on information seasonality and the disappearance of the weekend effect in the UK stock market Journal of Banking and Finance 2001; 25: 1941-56
    • (2001) Journal of Banking and Finance , vol.25 , pp. 1941-1956
    • Steeley, J.M.1
  • 21
    • 84987486872 scopus 로고
    • Comparison of seasonal anomalies across major equity markets: A note
    • Wilson J. W., Jones C. P. Comparison of seasonal anomalies across major equity markets: A note Financial Review 1993; 28: 107-15
    • (1993) Financial Review , vol.28 , pp. 107-115
    • Wilson, J.W.1    Jones, C.P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.