Accesso libero

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

Studies in Logic, Grammar and Rhetoric's Cover Image
Studies in Logic, Grammar and Rhetoric
Mechanisms and Methods of Decision Making / Ed. by Ewa Roszkowska
INFORMAZIONI SU QUESTO ARTICOLO

Cita

Ariel, R. A. (1987). A Monthly Effect in Stock Returns. Journal of Financial Economics, 18, 161–174.10.1016/0304-405X(87)90066-3Search in Google Scholar

Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3–18.10.1016/0304-405X(81)90018-0Search in Google Scholar

Basher, S.A, & Sadorsky, P. (2006). Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13, 621–628.10.1080/13504850600825238Search in Google Scholar

Cross, F. (1973). The Behavior of Stock Process on Fridays and Mondays. Financial Analysts Journal, 29, 67–69.10.2469/faj.v29.n6.67Search in Google Scholar

Fama, E. F. (1991). Efficient Capital Markets: II. Journal of Finance, 46(5), 1575–1617.10.1111/j.1540-6261.1991.tb04636.xSearch in Google Scholar

French, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8, March, 55–69.10.1016/0304-405X(80)90021-5Search in Google Scholar

Gajdošová, K., Heryán, T., & Tufan, E. (2011). Day of the week effect in the European emerging stock markets: recent evidence from the financial crisis period. Scientific Papers of the University of Pardubice, Series D, 15(19), 38–51.Search in Google Scholar

Gibbons, M. R., & Hess, P. (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54, 3–27.Search in Google Scholar

Grotowski, M. (2003). Momentum (1). Nasz Rynek Kapitalowy, 2(146), 133–34.Search in Google Scholar

Grotowski, M. (2008). Efekty kalendarzowe na Gieldzie Papierow Wartosciowych w Warszawie. Gospodarka Narodowa, 1–2, 57–75.10.33119/GN/101313Search in Google Scholar

Jamróz, P. (2011). Metody analizy a efektywność polskiego rynku akcji, PhD thesis, Faculty of Economics and Management University of Bialystok, Bialystok.Search in Google Scholar

Kamaly, A., & Tooma, E. A. (2009) Calendar anomolies and stock market volatility in selected Arab stock exchanges, Applied Financial Economics, 19(11), pp. 881–892.Search in Google Scholar

Keim, D. (1983). Size-related Anomalies and Stock Return Seasonality. Journal of Financial Economics, 12, 13–32.10.1016/0304-405X(83)90025-9Search in Google Scholar

Kenourgios, D., & Samitas, A. (2008). The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange. International Research Journal of Finance and Economics, 15, 70–81.Search in Google Scholar

Kiymaz, H., & Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics, 12(4), 363–380.10.1016/S1058-3300(03)00038-7Search in Google Scholar

Kourkoumelis, N., & Hourvouliades, N. (2010). New Evidence for the Day-of-the-Week Effect in the Financial Crisis. Available at SSRN 1553667. Retrieved from: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1553667.Search in Google Scholar

Lakonishok, J., & Smidt, S. (1988). Are Seasonal Anomalies Real?: A Ninety Year Perspective. Review of Financial Studies, 1, 435–455.10.1093/rfs/1.4.403Search in Google Scholar

Lakonishok, J., & Maberly, E. (1990). The Weekend Effect: Trading Patterns of Individual and Institutional Investors. The Journal of Finance, 45, 231–243.10.1111/j.1540-6261.1990.tb05089.xSearch in Google Scholar

Landmesser, J. (2006). Efekt dnia tygodnia na Giełdzie Papierów Wartościowych w Warszawie. Zeszyty Naukowe Ekonomika i Organizacja Gospodarki Żywnościowej, 60, 187–196.Search in Google Scholar

Reinganum, M. R. (1983). Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values. Journal of Financial Economics, 12, 89–104.10.1016/0304-405X(83)90029-6Search in Google Scholar

Rogalski, R. J. (1984). New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods. Journal of Finance, 39, 1603–1614.10.1111/j.1540-6261.1984.tb04927.xSearch in Google Scholar

Roll, R. (1983). Vas ist Das? The Turn-of-the-Year Effect and the Return Premia of Small Firms, Journal of Portfolio Management, 9, 18–28.10.3905/jpm.1983.18Search in Google Scholar

Schwert, W. G. (2002). Anomalies and Market Efficiency, Simon S'chool of Business Working Paper No. FR 02–13. Retrieved from: http://papers.ssrn.com/sol3/papers.cfm?abstract jd=338080.10.3386/w9277Search in Google Scholar

Siwek, P. (2000). Efekt stycznia na rozwinifgtych rynkach kapitalowych i na Giełdzie Papierów Wartościowych w Warszawie. In W. Przybylska-Kapuścińska (ed.), Rynek finansowy. Wybrane zagadnienia, (pp. 150–163). Poznań, Wydawnictwo Akademii Ekonomicznej w Poznaniu.Search in Google Scholar

Smirlock, M., & Starks, L. (1986). Day-of-the-Week and Intraday Effects in Stock Returns. Journal of Financial Economics, 15, 396–421.10.1016/0304-405X(86)90011-5Search in Google Scholar

Stavarek, D., & Heryan, T. (2012). Day of the week effect in central European stock markets. MPRA Paper No. 38431. Retrieved from: http://mpra.ub.uni-muenchen.de/38431/1/MPRA_paper_38431.pdf.Search in Google Scholar

Szyszka, A. (1999). Efektywność rynku a anomalie w rozkladzie stóp zwrotu w czasie. Nasz Rynek Kapitałowy, 12, 55–58.Search in Google Scholar

Szyszka, A. (2003). Efektywność giełdy papierów wartościowych w Warszawie na tle rynków dojrzałych, Poznań: Wydawnictwo Akademii Ekonomicznej w Poznaniu.Search in Google Scholar

Tonchev, D., & Kim, T.-H. (2004). Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia. Applied Financial Economics, 14, 1035–1043.10.1080/0960310042000264003Search in Google Scholar

Wong, W. K., Agarwal, A., & Wong, N. T. (2006). The Disappearing Calendar Anomalies in the Singapore Stock Market. The Lahore Journal of Economics, 11(2), 123–139.10.35536/lje.2006.v11.i2.a7Search in Google Scholar

Wos, M., & Żarnowski, J. (2000). Efekt kapitalizacji. Nasz Rynek Kapitałowy, 3(111), 38–40.Search in Google Scholar

eISSN:
2199-6059
ISSN:
0860-150X
Lingua:
Inglese
Frequenza di pubblicazione:
4 volte all'anno
Argomenti della rivista:
Philosophy, other