메뉴 건너뛰기




Volumn 18, Issue 1, 2004, Pages 51-57

The day-of-the-week effect in foreign exchange markets: Multi-currency evidence

Author keywords

Anomaly; Day of the week effect; Foreign exchange market

Indexed keywords


EID: 3442884929     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2004.02.004     Document Type: Article
Times cited : (37)

References (20)
  • 1
    • 84987588059 scopus 로고
    • Seasonal and day-of-the-week effects in four emerging stock markets
    • Aggarwal R. Rivoli P. Seasonal and day-of-the-week effects in four emerging stock markets Financial Rev. 24 1989 541-550
    • (1989) Financial Rev. , vol.24 , pp. 541-550
    • Aggarwal, R.1    Rivoli, P.2
  • 2
    • 3442899188 scopus 로고    scopus 로고
    • Calendar anomalies in the Turkish foreign exchange markets
    • Mimeo available at
    • Aydoǧan K. Booth G. 1999, Calendar anomalies in the Turkish foreign exchange markets. Mimeo (available at http://www.bilkent.edu.tr/~aydogan/calendar.pdf).
    • (1999)
    • Aydoǧan, K.1    Booth, G.2
  • 3
    • 84972029212 scopus 로고
    • International evidence on the robustness of the day-of-the-week effect
    • Chang E. Pinegar M. Ravichadran R. International evidence on the robustness of the day-of-the-week effect J. Financial Quant. Anal. 28 1993 497-513
    • (1993) J. Financial Quant. Anal. , vol.28 , pp. 497-513
    • Chang, E.1    Pinegar, M.2    Ravichadran, R.3
  • 4
    • 0011001398 scopus 로고
    • Seasonalities and intraday return patterns in the foreign currency futures market
    • Cornett M. Schwarz T. Szakmary A. Seasonalities and intraday return patterns in the foreign currency futures market J. Banking Finance 19 1995 843-869
    • (1995) J. Banking Finance , vol.19 , pp. 843-869
    • Cornett, M.1    Schwarz, T.2    Szakmary, A.3
  • 5
    • 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 J. Banking Finance 20 1996 1463-1484
    • (1996) J. Banking Finance , vol.20 , pp. 1463-1484
    • Dubois, M.1    Louvet, P.2
  • 6
    • 0000874469 scopus 로고
    • The weekend effect in information releases: A study of earnings and dividend announcements
    • Damodaran A. The weekend effect in information releases: a study of earnings and dividend announcements Rev. Financial Stud. 2 1989 607-623
    • (1989) Rev. Financial Stud. , vol.2 , pp. 607-623
    • Damodaran, A.1
  • 7
    • 49149143225 scopus 로고
    • Stock returns and the weekend effect
    • French K.R. Stock returns and the weekend effect J. Financial Econ. 8 1980 55-70
    • (1980) J. Financial Econ. , vol.8 , pp. 55-70
    • French, K.R.1
  • 8
    • 3442876522 scopus 로고    scopus 로고
    • An analysis of Japanese return dynamics conditional on United States Monday holiday closures
    • in press
    • Hiraki T. Maberly E. 2003. An analysis of Japanese return dynamics conditional on United States Monday holiday closures. Int. Finance Rev. 4, in press.
    • (2003) Int. Finance Rev , vol.4
    • Hiraki, T.1    Maberly, E.2
  • 9
    • 0040691542 scopus 로고    scopus 로고
    • The impact of index futures trading on day-of-the-week effects in Japan
    • Hiraki T. Maberly E. Taube P. The impact of index futures trading on day-of-the-week effects in Japan Pacific Basin Finance J. 6 1998 493-506
    • (1998) Pacific Basin Finance J. , vol.6 , pp. 493-506
    • Hiraki, T.1    Maberly, E.2    Taube, P.3
  • 10
    • 80051899787 scopus 로고
    • The week-end effect in common stock returns: The international evidence
    • Jaffe J.F. Westerfield R. The week-end effect in common stock returns: the international evidence J. Finance 40 1985 433-454
    • (1985) J. Finance , vol.40 , pp. 433-454
    • Jaffe, J.F.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 Int. J. Business 7 2002 47-62
    • (2002) Int. J. Business , vol.7 , pp. 47-62
    • Kamath, R.1    Chusanachoti, J.2
  • 12
    • 0039570919 scopus 로고
    • New evidence on the Monday seasonal in stock returns
    • Working paper, University of Washington
    • Kamara A. 1995. New evidence on the Monday seasonal in stock returns. Working paper, University of Washington.
    • (1995)
    • Kamara, A.1
  • 13
    • 0000419439 scopus 로고
    • Weekly patterns in Japanese stock returns
    • Kato K. Weekly patterns in Japanese stock returns Management Sci. 36 1990 1031-1043
    • (1990) Management Sci. , vol.36 , pp. 1031-1043
    • Kato, K.1
  • 14
    • 0001585566 scopus 로고
    • Weekend effects on stock returns: A note
    • Lankonishok J. Levi M. Weekend effects on stock returns: a note J. Finance 37 1982 883-889
    • (1982) J. Finance , vol.37 , pp. 883-889
    • Lankonishok, J.1    Levi, M.2
  • 15
    • 84977733807 scopus 로고
    • The weekend effect: Trading patterns of individual and institutional investors
    • Lankonishok J. Marberly E. The weekend effect: trading patterns of individual and institutional investors J. Finance 40 1990 231-243
    • (1990) J. Finance , vol.40 , pp. 231-243
    • Lankonishok, J.1    Marberly, E.2
  • 16
    • 84977424601 scopus 로고
    • The distribution of foreign exchange price changes: Trading day effects and risk measurement
    • McFarland J. Pettit R. Sung S. The distribution of foreign exchange price changes: trading day effects and risk measurement J. Finance 37 1982 693-715
    • (1982) J. Finance , vol.37 , pp. 693-715
    • McFarland, J.1    Pettit, R.2    Sung, S.3
  • 17
    • 84977701588 scopus 로고
    • The distribution of foreign exchange price changes: Trading day effects and risk measurement: A comments
    • So J. The distribution of foreign exchange price changes: trading day effects and risk measurement: a comments J. Finance 42 1987 181-188
    • (1987) J. Finance , vol.42 , pp. 181-188
    • So, J.1
  • 18
    • 0008203135 scopus 로고    scopus 로고
    • The January effect in preferred stock investments
    • Vetter D.E. Wingender J.R. The January effect in preferred stock investments Q. J. Business Econ. 35 1996 79-88
    • (1996) Q. J. Business Econ. , vol.35 , pp. 79-88
    • Vetter, D.E.1    Wingender, J.R.2
  • 19
    • 0032324872 scopus 로고    scopus 로고
    • Does international trading of stocks decrease pricing errors? Evidence from Japan
    • Yamori N. Does international trading of stocks decrease pricing errors? evidence from Japan J. Int. Financial Markets Instit. Money 8 1998 413-432
    • (1998) J. Int. Financial Markets Instit. Money , vol.8 , pp. 413-432
    • Yamori, N.1
  • 20
    • 3442882917 scopus 로고    scopus 로고
    • Does the day-of-the-week effect in foreign currency markets disappear? Evidence from the Yen/Dollar market
    • Yamori N. Mourdoukoutas P. Does the day-of-the-week effect in foreign currency markets disappear? Evidence from the Yen/Dollar market Int. Finance Rev. 4 2003 447-463
    • (2003) Int. Finance Rev. , vol.4 , pp. 447-463
    • Yamori, N.1    Mourdoukoutas, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.