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Calendar effects in the London Stock Exchange FT-SE indices

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  1. Vicente Meneu & Angel Pardo, "undated". "El efecto "día festivo" en la Bolsa espanola," Studies on the Spanish Economy 95, FEDEA.
  2. Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.
  3. T. C. Mills & J. V. Jordanov, 2003. "The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains," Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 807-815.
  4. Ahmad Fares Alqisie & Hamdan Moh'd Al- Hiyasat & Belal Rabah Shammout, 2019. "Does January Effect Exist in Jordan Pre and Post the 2008 Global Financial Crisis," Modern Applied Science, Canadian Center of Science and Education, vol. 13(9), pages 1-65, September.
  5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
  6. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
  7. James Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 895-899.
  8. Gordon Tang, 1996. "Day-of-the-week effect on skewness and kurtosis: a direct test and portfolio effect," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 333-351.
  9. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
  10. Richards, Daniel W. & Willows, Gizelle D., 2018. "Who trades profusely? The characteristics of individual investors who trade frequently," Global Finance Journal, Elsevier, vol. 35(C), pages 1-11.
  11. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division.
  12. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1035-1043.
  13. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
  14. Brian Lucey, 2005. "Are local or international influences responsible for the pre-holiday behaviour of Irish equities?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 381-389.
  15. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
  16. Eero P䴤ri & Mika Vilska, 2014. "Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2851-2872, August.
  17. Zainudin Arsad & J. Andrew Coutts, 1997. "The trading month anomaly in the Financial Times Industrial Ordinary Shares Index: 1935-1994," Applied Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 297-299.
  18. Li, Lingxiang, 2016. "New findings on repurchase anomaly — The first-month effect," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 331-349.
  19. Satish K. Mittal & Sonal Jain, 2009. "Stock Market Behaviour: Evidences from Indian Market," Vision, , vol. 13(3), pages 19-29, July.
  20. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
  21. Subadar Agathee Ushad, 2009. "Seasonality, returns and volatility on the Stock Exchange of Mauritius," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 545-548.
  22. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2018. "European trading volumes on cross‐market holidays," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 675-704, October.
  23. Zainudin Arsad & J. Andrew Coutts, 1996. "The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935-94," Applied Economics Letters, Taylor & Francis Journals, vol. 3(12), pages 797-801.
  24. 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.
  25. George Ogum & Francisca Beer & Genevieve Nouyrigat, 2005. "Emerging Equity Market Volatility Ab Empirical Investigation Of Markets In Kenya Nigeria," Post-Print hal-04533527, HAL.
  26. Meneu, Vicente & Pardo, Angel, 2004. "Pre-holiday effect, large trades and small investor behaviour," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 231-246, March.
  27. Terence Mills & Jordan Jordanov, 2001. "Lead-lag patterns between small and large size portfolios in the London stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 489-495.
  28. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
  29. Miguel Balbina, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
  30. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
  31. Keef, Stephen P & Khaled, Mohammed S, 2011. "The friday the thirteenth effect in stock prices: international evidence using panel data," Working Paper Series 18607, Victoria University of Wellington, School of Economics and Finance.
  32. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
  33. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
  34. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
  35. Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
  36. Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
  37. Razvan Stefanescu & Ramona Dumitriu, 2023. "The Extended January Effect on London Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 104-114.
  38. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
  39. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
  40. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
  41. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.
  42. Tian Yuan & Rakesh Gupta & Robert J. Bianchi, 2015. "The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-28.
  43. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.
  44. Brian Lucey, 2001. "Friday the 13th: international evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 577-579.
  45. Terence Mills, 1997. "Stylized facts on the temporal and distributional properties of daily FT-SE returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 599-604.
  46. Pham Dan Khanh & Pham Thanh Dat & Bui Huy Nhuong, 2020. "A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam," Edelweiss Applied Science and Technology, Learning Gate, vol. 4(1), pages 51-54.
  47. Farhang Niroomand & Massoud Metghalchi & Massomeh Hajilee, 2020. "Efficient market hypothesis: a ruinous implication for Portugese stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 749-763, October.
  48. Nisar, Sabahat & Asif, Rabia & Ali, Amjad, 2021. "Testing the Presence of the January Effect in Developed Economies," MPRA Paper 112548, University Library of Munich, Germany.
  49. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
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