Всего статей в данном разделе : 10
Опубликовано на портале: 22-10-2007Michael R. Gibbons, Patrick Hess Journal of Business. 1981. Vol. 54. No. 4. P. 579-596.
Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange [статья]
Опубликовано на портале: 22-10-2007Manoj Dalvi, Golaka C. Nath
Опубликовано на портале: 22-10-2007Ercan Balaban Applied Economics Letters. 1995. Vol. 2. No. 5. P. 139-153.
The primary objective of this paper is to investigate day of the week effects in an emerging stock market of a developing country namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period January 1988-August 1994, these effects change in direction and magnitude through time.
Опубликовано на портале: 22-10-2007Anat R. Admati, Paul Pfleiderer Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.
This article develops a model in which pattern in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
Опубликовано на портале: 22-10-2007Sunil Poshakwale Finance India. 1996. Vol. X. No. 3. P. 605-616.
Stock market efficiency is an important concept, for understanding the working of the capital markets particularly in emerging stock market such as India. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for the international equity investments. There is enough evidence on market efficiency and day of the week effect in the developed markets, however, the same is not true for the emerging stock markets. This study provides empirical evidence on weak form efficiency and the day of the week effect in Bombay Stock Exchange over a period of 1987-1994. The results provide evidence of day of the week effect and that the stock market is not weak form efficient. The day of the week effect observed on the BSE pose interesting buy and hold strategy issues.
Explaining Monday Returns [статья]
Опубликовано на портале: 25-10-2007Paul Draper, Krishna Paudyal The Journal of Financial Research. 2002. Vol. 15. No. 4. P. 507-520.
The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis to examine the effects of various possible influences simultaneously, the average Monday return becomes positive and does not differ significantly from the average returns of most other days of the week. Fortnight, ex-dividend day, account period, (bad) news flow, trading activity, and bid-ask spread effects are all controlled for. The results broadly support the trading time hypothesis.
Опубликовано на портале: 03-12-2007Fisher Black Journal of Finance. 1986. Vol. 21. P. 529-543.
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark
Опубликовано на портале: 25-10-2007Andrew W. Lo, A. Craig MacKinlay Review of Financial Studies. 1988. Vol. 1. No. 1. P. 41-66.
In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sampleperiod (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted porfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of assetprices.
Опубликовано на портале: 25-10-2007Kenneth R. French, Richard Roll Journal of Financial Economics. 1986. Vol. 17. No. 1. P. 5-26.
Asset prices are much more volatile during exchange trading hours than during non-trading hours. This paper considers three explanations for this phenomenon: (1) volatility is caused by public information which is more likely to arrive during normal business hours; (2) volatility is caused by private information which affects prices when informed investors trade; and (3) volatility is caused by pricing errors that occur during trading. Although a significant fraction of the daily variance is caused by mispricing, the behavior of returns around exchange holidays suggests that private information is the principle factor behind high trading-time variances.
Опубликовано на портале: 22-10-2007Hakan Berument, Ercan Balaban Journal of Economics & Finance. 2001. Vol. 25. No. 2. P. 181-193.
This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.