The day-of-the-Week effects of stock markets in different countries
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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… read more here.
Keywords: day week; anomalies prominent; effects stock;