References
- Baker , H. K. , Rahman , A. and Saadi , S. 2008 . The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions . Review of Financial Economics , 17 ( 4 ) : 280 – 95 .
- Brooks , C. and Persand , G. 2001 . Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects . Applied Economics Letters , 8 ( 3 ) : 155 – 8 .
- Connolly , R. A. 1989 . An examination of the robustness of the weekend effect . Journal of Financial and Quantitative Analysis , 24 ( 2 ) : 133 – 69 .
- Cross , F. 1973 . The behavior of stock prices on Fridays and Mondays . Financial Analysts Journal , 29 ( 6 ) : 67 – 9 .
- Doyle , J. R. and Chen , C. H. 2009 . The wandering weekday effect in major stock markets . Journal of Banking and Finance , 33 ( 8 ) : 1388 – 99 .
- Fama , E. F. 1965 . The behavior of stock market prices . Journal of Business , 38 ( 1 ) : 34 – 105 .
- Fields , M. J. 1931 . Stock prices: A problem in verification . The Journal of Business of the University of Chicago , 4 ( 4 ) : 415 – 8 .
- French , K. 1980 . Stock returns and the weekend effect . Journal of Financial Economics , 8 ( 1 ) : 55 – 70 .
- Högholm , K. and Knif , J. 2009 . Portfolio aggregation, asymmetry and day-of-the-week effects: Evidence from the Finnish equity market before and after the introduction of the euro . Global Finance Journal , 20 ( 1 ) : 67 – 79 .
- Högholm , K. , Knif , J. and Pynnönen , S. 2011 . Common and local asymmetry and day-of-the-week effects among EU equity markets . Quantitative Finance , forthcoming
- Koenker , R. 2005 . Quantile regression , New York, , NY : Cambridge University Press .
- Koenker , R. and Bassett , G. 1978 . Regression quantiles . Econometrica , 46 ( 1 ) : 41 – 55 .
- McInish , T. H. and Wood , R. A. 1985 . Intraday and overnight returns and day-of-the-week effects . Journal of Financial Research , 8 ( 2 ) : 119 – 26 .
- Newey , W. K. and Powell , J. L. 1987 . Asymmetric least squares estimation . Econometrica , 55 ( 4 ) : 819 – 47 .
- Osborne , M. F.M. 1962 . Periodic structure in the Brownian motion of the stock market . Operations Research , 10 ( 3 ) : 345 – 79 .
- Steeley , J. M. 2001 . A note on information seasonality the disappearance of the weekend effect in the UK stock market . Journal of Banking and Finance , 25 ( 10 ) : 1941 – 56 .
- Xiao , Z. and Koenker , R. 2009 . Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models . Journal of the American Statistical Association , 104 ( 488 ) : 1696 – 712 .