Stock market return and volatility relationship: Monday effect
Date
2011
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Source Title
International Journal of Economic Perspectives
Print ISSN
13071637
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Volume
5
Issue
2
Pages
175 - 185
Language
English
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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.