The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities

Brusa, Jorge; Liu, Pu

doi:10.1023/b:requ.0000037062.21050.3b

Cited by 28 publications

(16 citation statements)

References 16 publications

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“…The first and 99th percentiles of the z-scores are -0.64 and 7.18, respectively. 5 The 5 days of the week dummies serve as the intercept term, inspired by previous work (e.g., Brusa and Liu 2004). 6 The primary goal in Ajinkya and Jain (1989) is not to identify the time series properties of individual firms' daily trading volumes but to refine the market model for volume used in studies of volume reaction to earnings announcements.…”

Section: Measuring Speculative Intensitymentioning

confidence: 99%

Herding, momentum and investor over-reaction

Hoitash

Krishnan

2007

Rev Quant Finan Acc

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Section: Measuring Speculative Intensitymentioning

confidence: 99%

Herding, momentum and investor over-reaction

Hoitash

Krishnan

2007

Rev Quant Finan Acc

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“…Berument y Kiymaz (2001) estudiaron el Efecto Día de Semana en retorno y volatilidad para el Índice S&P, encontrando evidencia de bajos retornos los lunes y alta volatilidad los días viernes. Brusa y Liu (2004) han tratado de ir más allá de la detección del efecto y exploran una explicación al Efecto Día de Semana en el mercado norteamericano, relacionando su causa a una relación positiva de los retornos y los días en que los inversores institucionales hacen sus transacciones, lo cual aumenta la actividad bursátil. Steeley (2001) encuentra evidencia que el Efecto Día de Semana ha ido desapareciendo en Inglaterra en la década de los 90.…”

Section: Efecto Día De Semanaunclassified

Análisis del Efecto Día de Semana en los principales mercados accionarios latinoamericanos: una aproximación mediante el criterio de Dominancia Estocástica

Kristjanpoller

Muñoz

2012

Estudios de Economía

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* Los autores desean agradecer los comentarios del Editor y un referee anónimo que permitieron introducir las comparaciones con el trabajo de Sullivan et al. (2001), así como realizar los análisis de sensibilidad y de significancia económica de los resultados incorporados en esta versión. * (Baker et al., 2008), and that their existence could be due to a problem of data snooping (Sullivan et al., 2001). In response to these problems, Cho et al. (2007)

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“…However, the correlations calculated are unconditional correlations based on five observations in a week. Brusa and Liu (2004) offer a different explanation to the existence of the day-of-the-week effect in returns. They argue that positive returns are concentrated on days of the week where there is an increase in trading activities of institutional investors.…”

Section: Literaturementioning

confidence: 93%

The day-of-the-week effect in conditional correlation

Chandra

2006

Rev Quant Finan Acc

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The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. Copyright Springer Science + Business Media, LLC 2006Day-of-the-week effect, Conditional correlation, Asia-Pacific markets,

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The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities

Cited by 28 publications

References 16 publications

Herding, momentum and investor over-reaction

Herding, momentum and investor over-reaction

Análisis del Efecto Día de Semana en los principales mercados accionarios latinoamericanos: una aproximación mediante el criterio de Dominancia Estocástica

The day-of-the-week effect in conditional correlation

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