Stock market return and volatility relationship: Monday effect
International Journal of Economic Perspectives
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/21677
This paper assesses whether the return-volatility relationship is the same on Monday compared to other days. Empirical evidence suggests that the Monday return-volatility relationship is different from the other days for equally and value weighted NYSE, S&P500, AMEX and equally weighted NASDAQ indexes. © International Economic Society.
- Research Paper