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Published in 2019 at "Economics Letters"
DOI: 10.1016/j.econlet.2019.05.042
Abstract: This paper examines the day-of-the-week effect in anomalies (Birru, 2018) in 24 international equity markets. In particular, the returns to the quality-minus-junk (QMJ) factor on different weekdays are studied. The QMJ factor resembles the difference…
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Keywords:
day week;
speculative stocks;
week effect;
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Published in 2019 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2019.02.003
Abstract: Abstract This study investigates the day-of-the-week effect on both return and volatility of Bitcoin (BTC) from January 2013 to December 2018 using daily data obtained from CoinDesk Bitcoin Price Index. Estimation results suggest that the…
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Keywords:
return;
day week;
volatility;
effect ... See more keywords
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Published in 2022 at "Entropy"
DOI: 10.3390/e24040562
Abstract: Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses…
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Keywords:
day week;
calendar anomalies;
day;
week ... See more keywords