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Applied Financial Economics Volume 14, 2004 - Issue 3
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Original Articles

Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK

A. Gregoriou Department of Economics and Finance, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK
,
A. Kontonikas Department of Economics and Finance, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK
&
N. Tsitsianis Department of Economics and Finance, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK
Pages 215-220 | Published online: 21 Aug 2006

Citations (17)

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Read on this site (3)

Kenneth Högholm, Johan Knif & Seppo Pynnönen. (2011) Common and local asymmetry and day-of-the-week effects among EU equity markets. Quantitative Finance 11:2, pages 219-227.
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Nickolaos V. Tsangarakis. (2007) The day-of-the-week effect in the Athens Stock Exchange (ASE). Applied Financial Economics 17:17, pages 1447-1454.
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Khelifa Mazouz & Brahim Saadouni. (2007) The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal?. Applied Financial Economics 17:6, pages 501-510.
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Articles from other publishers (14)

Aliaa Bassiouny, Mariam Kiryakos & Eskandar Tooma. (2023) Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19. Global Finance Journal 56, pages 100777.
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Khushboo Aggarwal & Mithilesh Kumar Jha. (2023) Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market. Managerial Finance.
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Roberto Joaquín Santillán SalgadoDr.Dr., Alejandro Fonseca RamírezDr.Dr. & Luis Nelson RomeroDr.Dr.. (2019) The “day-of-the-week” effects in the exchange rate of Latin American currencies. Revista Mexicana de Economía y Finanzas 14:PNEA, pages 485-507.
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Daniel W. Richards & Gizelle D. Willows. (2019) Monday mornings: Individual investor trading on days of the week and times within a day. Journal of Behavioral and Experimental Finance 22, pages 105-115.
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Mostafa Saidur Rahim Khan & Naheed Rabbani. (2018) Market Conditions and Calendar Anomalies in Japanese Stock Returns. Asia-Pacific Financial Markets 26:2, pages 187-209.
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James Mark Gbeda & James Atta Peprah. (2017) Day of the week effect and stock market volatility in Ghana and Nairobi stock exchanges. Journal of Economics and Finance 42:4, pages 727-745.
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Guglielmo Maria Caporale & Valentina Zakirova. (2017) Calendar anomalies in the Russian stock market. Russian Journal of Economics 3:1, pages 101-108.
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Murat Akbalik & Nasif Ozkan. 2017. Global Financial Crisis and Its Ramifications on Capital Markets. Global Financial Crisis and Its Ramifications on Capital Markets 507 518 .
Georgios Bampinas, Stilianos Fountas & Theodore Panagiotidis. (2015) The day-of-the-week effect is weak: Evidence from the European real estate sector. Journal of Economics and Finance 40:3, pages 549-567.
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Giuseppe Galloppo, Mauro Aliano & Abdelmoneim Youssef. (2014) "Much ado about nothing": Short selling ban effectiveness on bank stock prices. Risk Governance and Control: Financial Markets and Institutions 4:4, pages 48-60.
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Kenneth Högholm & Johan Knif. (2009) The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland. Global Finance Journal 20:1, pages 67-79.
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Mahendra Chandra. (2006) The day-of-the-week effect in conditional correlation. Review of Quantitative Finance and Accounting 27:3, pages 297-310.
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Brian M. Lucey. (2006) Investigating the determinants of the Wednesday seasonal in Irish Equities. Research in International Business and Finance 20:1, pages 62-76.
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Daniel Richards & Gizelle Willows. (2018) Monday Mornings: Individual Investor Trading on Days of the Week and Times Within a Day. SSRN Electronic Journal.
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