Stock market return and volatility: day-of-the-week effect

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.

Saved in:
Bibliographic Details
Published inJournal of economics and finance Vol. 36; no. 2; pp. 282 - 302
Main Authors Berument, M. Hakan, Dogan, Nukhet
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.04.2012
Springer
Springer Nature B.V
SeriesJournal of Economics and Finance
Subjects
C22
Day-of-the-Week Effect
Economics
Economics and Finance
EGARCH
Finance
G10
G12
Macroeconomics/Monetary Economics//Financial Economics
Return-Volatility Relation
Securities markets
Stochastic models
Studies
Time Varying Risk Premia
Volatility
United States > US
Return-Volatility Relation
C22
G10
Day-of-the-Week Effect
G12
EGARCH
Time Varying Risk Premia
Online AccessGet full text

Cover

More Information
Summary:This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.
ISSN:1055-0925
1938-9744
DOI:10.1007/s12197-009-9118-y