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Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2016.09.006
Abstract: This paper applies the method of rolling sample test and the GARCH model to investigate the day-of-the-week anomalies in stock returns of main indices in 28 markets from 25 countries over the world. We propose…
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Keywords:
day week;
anomalies prominent;
effects stock;