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
2008-03-01
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| Series: | The International Journal of Banking and Finance |
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| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8364 |