Stock market return and volatility: Day-of-the-week effect
Journal of Economics and Finance
282 - 302
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Please cite this item using this persistent URLhttp://hdl.handle.net/11693/21517
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.
- Research Paper 7144