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dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorDogan, N.en_US
dc.date.accessioned2016-02-08T09:47:26Z
dc.date.available2016-02-08T09:47:26Z
dc.date.issued2012en_US
dc.identifier.issn1055-0925
dc.identifier.urihttp://hdl.handle.net/11693/21517
dc.description.abstractThis 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.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Economics and Financeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s12197-009-9118-yen_US
dc.subjectDay-of-the-week effecten_US
dc.subjectEGARCHen_US
dc.subjectReturn-volatility relationen_US
dc.subjectTime varying risk premiaen_US
dc.titleStock market return and volatility: day-of-the-week effecten_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage282en_US
dc.citation.epage302en_US
dc.citation.volumeNumber36en_US
dc.citation.issueNumber2en_US
dc.identifier.doi10.1007/s12197-009-9118-yen_US
dc.publisherSpringer New York LLCen_US
dc.contributor.bilkentauthorBerument, Hakan
dc.identifier.eissn1938-9744


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