Stock market return and volatility: day-of-the-week effect
Date
2012
Authors
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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
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Journal 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.