Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets
The presence of the day-of-the-week effect has been documented in finance literature. This paper investigates the presence of the day-of-the-week effect and return volatility in ten East-Asian financial markets in the post Asian financial crisis period, after 1998. A set of parametric and non-parame...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2006
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| Online Access: | http://repo.uum.edu.my/25102/1/IJBF%203-4%20SI%202006%20153%20164.pdf http://repo.uum.edu.my/25102/ http://ijbf.uum.edu.my/index.php/previous-issues/135-the-international-journal-of-banking-and-finance-ijbf-vol-5-no-1-2008 |
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