The day of the week effect on stock market volatility

buir.contributor.authorBerument, Hakan
dc.citation.epage193en_US
dc.citation.issueNumber2en_US
dc.citation.spage181en_US
dc.citation.volumeNumber25en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorKiymaz, H.en_US
dc.date.accessioned2016-02-08T10:35:20Z
dc.date.available2016-02-08T10:35:20Z
dc.date.issued2001en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.en_US
dc.identifier.doi10.1007/BF02744521en_US
dc.identifier.eissn1938-9744
dc.identifier.issn1055-0925
dc.identifier.urihttp://hdl.handle.net/11693/24854
dc.language.isoEnglishen_US
dc.publisherSpringer New York LLCen_US
dc.relation.isversionofhttps://doi.org/10.1007/BF02744521en_US
dc.source.titleJournal of Economics and Financeen_US
dc.subjectStock marketen_US
dc.subjectOrdinary little squareen_US
dc.subjectStock returnen_US
dc.subjectPercent levelen_US
dc.subjectConditional varianceen_US
dc.titleThe day of the week effect on stock market volatilityen_US
dc.typeArticleen_US
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