1,140
Views
58
CrossRef citations to date
0
Altmetric
Original Articles

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

, , &
Pages 167-171 | Published online: 23 Aug 2006

References

References

  • Aggarwal , A and Tandon , K . 1994 . Anomalies or illusions? Evidence from stock markets in eighteen countries . Journal of International Money and Finance , 13 : 83 – 106 .
  • Balaban , E , Bayar , A and Kan, Ö , B . 2001 . Stock returns, seasonality and asymmetric conditional volatility in World Equity Markets . Applied Economics Letters , 8 : 263 – 8 .
  • Barone , E . 1990 . The Italian Stock Market: efficiency and calendar anomalies . Journal of Banking and Finance , 14 : 483 – 510 .
  • Berument , H and Kiymaz , H . 2001 . The day of the week effect on stock market volatility . Journal of Economics and Finance , 25 : 181 – 93 .
  • Brooks , C and Persand , G . 2001 . Seasonality in Southeast Asian stock markets: some new evidence on the day-of-the-week effects . Applied Economics Letters , 8 : 155 – 8 .
  • Davidson , S and Faff , R . 1999 . Some additional Australian evidence on the day-of-the-week effect . Applied Economics Letters , 6 : 247 – 9 .
  • Dubois , M and Louvet , P . 1996 . The day-of-the-week effect: the international evidence . Journal of Banking and Finance , 20 : 1463 – 85 .
  • Flannery , MJ and Protopapadakis , AA . 1988 . From T-bills to common stocks: investigating the generality of intra-week return seasonality . Journal of Finance , 43 : 431 – 50 .
  • Gibbons , MR and Hess , P . 1981 . Day-of-the-week effects and asset returns . Journal of Business , 54 : 579 – 96 .
  • Jaffe , J and Westerfield , R . 1985 . The weekend effect in common stock returns: the international evidence . Journal of Finance , 40 : 433 – 54 .
  • Kamath , R and Chusanachoti , J . 2002 . An investigation of the day-of-the-week effect in Korea: has the anomalous effect vanished in the 1990s? . International Journal of Business , 7 : 47 – 62 .
  • Keim , DB and Stambaugh , RF . 1984 . A further investigation of the weekend effect in stock returns . Journal of Finance , 39 : 819 – 35 .
  • Kohers , T and Kohers , G . 1995 . The impact of firm size differences on the day-of-the-week effect: a comparison of major stock exchanges . Applied Financial Economics , 5 : 151 – 60 .
  • Lakonishok , J and Smidt , S . 1988 . Are seasonal anomalies real? A ninety-year perspective . Review of Financial Studies , 1 : 403 – 25 .
  • Miller , EM . 1988 . Why a weekend effect? . Journal of Portfolio Management , 14 : 43 – 8 .
  • Pena , JI . 1995 . Daily seasonalities and stock market reform in Spain . Applied Financial Economics , 5 : 419 – 23 .
  • Penman , SH . 1987 . The distribution of earnings news over time and seasonalities in aggregate stock returns . Journal of Financial Economics , 56 ( 1 ) : 199 – 228 .
  • Rogalski , RJ . 1984 . New findings regarding day-of-the-week returns over trading and non-trading periods: a note . Journal of Finance , 39 : 1603 – 14 .
  • Smirlock , M and Starks , L . 1986 . Day of the week and intraday effects in stock returns . Journal of Financial Economics , 17 : 197 – 210 .
  • Steeley , JM . 2001 . A note on information seasonality and the disappearance of the weekend effect in the UK stock market . Journal of Banking and Finance , 25 : 1941 – 56 .
  • Wilson , JW and Jones , CP . 1993 . Comparison of seasonal anomalies across major equity markets: a note . Financial Review , 28 : 107 – 15 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.