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      • Department of Economics
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      Stock market return and volatility relationship: Monday effect

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      Author
      Berument, Hakan
      Doǧan, N.
      Date
      2011
      Source Title
      International Journal of Economic Perspectives
      Print ISSN
      13071637
      Volume
      5
      Issue
      2
      Pages
      175 - 185
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      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.
      Keywords
      EGARCH models
      Monday effect
      Return-volatility relationship
      Permalink
      http://hdl.handle.net/11693/21677
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      • Department of Economics 649
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