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Applied Economics Letters Volume 31, 2024 - Issue 8
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Research Article

The day-of-the-week effect on global stock market volatility after a market shock

Taehyeon KangInvestment Policy Division, National Pension Research Institute, Jeonju-si, Republic of KoreaORCID Iconhttps://orcid.org/0000-0002-0813-1617
ORCID Icon &
Eunyoung ChoInvestment Policy Division, National Pension Research Institute, Jeonju-si, Republic of KoreaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-1252-8681
ORCID Icon
Pages 696-701 | Published online: 03 Nov 2022

References

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  • Karolyi, G. A. 1995. “A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada.” Journal of Business and Economic Statistics 13 (1): 11–25. doi:10.1080/07350015.1995.10524575.
  • Kiymaz, H., and H. Berument. 2003. “The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence.” Review of Financial Economics 12 (4): 363–380. doi:10.1016/S1058-3300(03)00038-7.
  • Kohers, G., N. Kohers, V. Pandey, and T. Kohers. 2004. “The Disappearing Day-Of-The Week Effect in the World’s Largest Equity Markets.” Applied Economics Letters 11 (3): 167–171. doi:10.1080/1350485042000203797.
  • Lakonishok, J., and M. Levi. 1982. “Weekend Effects on Stock Returns: A Note.” The Journal of Finance 37 (3): 883–889. doi:10.1111/j.1540-6261.1982.tb02231.x.

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