Stock market return and volatility relationship: Monday effect

buir.contributor.authorBerument, Hakan
dc.citation.epage185en_US
dc.citation.issueNumber2en_US
dc.citation.spage175en_US
dc.citation.volumeNumber5en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorDoǧan, N.en_US
dc.date.accessioned2016-02-08T09:49:38Z
dc.date.available2016-02-08T09:49:38Z
dc.date.issued2011en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.issn13071637
dc.identifier.urihttp://hdl.handle.net/11693/21677
dc.language.isoEnglishen_US
dc.source.titleInternational Journal of Economic Perspectivesen_US
dc.subjectEGARCH modelsen_US
dc.subjectMonday effecten_US
dc.subjectReturn-volatility relationshipen_US
dc.titleStock market return and volatility relationship: Monday effecten_US
dc.typeArticleen_US

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