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      Stock market return and volatility: day-of-the-week effect

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      Author(s)
      Berument, Hakan
      Dogan, N.
      Date
      2012
      Source Title
      Journal of Economics and Finance
      Print ISSN
      1055-0925
      Electronic ISSN
      1938-9744
      Publisher
      Springer New York LLC
      Volume
      36
      Issue
      2
      Pages
      282 - 302
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week. © 2010 Springer Science+Business Media, LLC.
      Keywords
      Day-of-the-week effect
      EGARCH
      Return-volatility relation
      Time varying risk premia
      Permalink
      http://hdl.handle.net/11693/21517
      Published Version (Please cite this version)
      http://dx.doi.org/10.1007/s12197-009-9118-y
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