Seasonality in outliers of daily stock returns: A tail that wags the dog?

International Review of Financial Analysis

Volumn 17, Issue 5, 2008, Pages 784-792

  Galai, Dan ^a   Kedar Levy, Haim ^b,c   Schreiber, Ben Z ^d  

^a HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^b BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^c TEMPLE UNIVERSITY   (United States)

^d The Bank of Israel   (Israel)

Author keywords

Halloween effect; January effect; Month of the Year; Outliers

Indexed keywords

EID: 54849437737     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2007.12.001     Document Type: Article

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