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

Date

2012

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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.

Source Title

Journal of Economics and Finance

Publisher

Springer New York LLC

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Published Version (Please cite this version)

Language

English