The Day Of The Week Effect In South Eastern Europe Stock Markets
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- Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
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Cited by:
- Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.
- Ivan S. Blahun & Lesia Dmytryshyn & Ivan I. Blahun & Semen Blahun, 2022. "Stock Indices as Indicators of Market Efficiency and Interaction," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 87-106.
- Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
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Keywords
calendar anomalies; the day of the week effect; daily returns; SEE.;All these keywords.
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