Stock market return and volatility relationship: Monday effect
buir.contributor.author | Berument, Hakan | |
dc.citation.epage | 185 | en_US |
dc.citation.issueNumber | 2 | en_US |
dc.citation.spage | 175 | en_US |
dc.citation.volumeNumber | 5 | en_US |
dc.contributor.author | Berument, Hakan | en_US |
dc.contributor.author | Doǧan, N. | en_US |
dc.date.accessioned | 2016-02-08T09:49:38Z | |
dc.date.available | 2016-02-08T09:49:38Z | |
dc.date.issued | 2011 | en_US |
dc.department | Department of Economics | en_US |
dc.description.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. | en_US |
dc.identifier.issn | 13071637 | |
dc.identifier.uri | http://hdl.handle.net/11693/21677 | |
dc.language.iso | English | en_US |
dc.source.title | International Journal of Economic Perspectives | en_US |
dc.subject | EGARCH models | en_US |
dc.subject | Monday effect | en_US |
dc.subject | Return-volatility relationship | en_US |
dc.title | Stock market return and volatility relationship: Monday effect | en_US |
dc.type | Article | en_US |
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