Day-of-the-week effect in anomaly returns: International evidence
Sign Up to like & getrecommendations! 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… read more here.
Keywords: day week; speculative stocks; week effect;
The day-of-the-week effect on Bitcoin return and volatility
Sign Up to like & getrecommendations! 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… read more here.
Keywords: return; day week; volatility; effect ... See more keywords
A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect
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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… read more here.
Keywords: day week; calendar anomalies; day; week ... See more keywords