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

Berument, HakanDogan, N.2016-02-082016-02-0820121055-0925http://hdl.handle.net/11693/21517This 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.EnglishDay-of-the-week effectEGARCHReturn-volatility relationTime varying risk premiaStock market return and volatility: day-of-the-week effectArticle10.1007/s12197-009-9118-y1938-9744