Stock market return and volatility: day-of-the-week effect

Date
2012
Advisor
Supervisor
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Co-Supervisor
Instructor
Source Title
Journal of Economics and Finance
Print ISSN
1055-0925
Electronic ISSN
1938-9744
Publisher
Springer New York LLC
Volume
36
Issue
2
Pages
282 - 302
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
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Abstract

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week. © 2010 Springer Science+Business Media, LLC.

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Book Title
Keywords
Day-of-the-week effect, EGARCH, Return-volatility relation, Time varying risk premia
Citation
Published Version (Please cite this version)