Weekday variation in the leverage effect: A puzzle

Smith, Geoffrey Peter

doi:10.1016/j.frl.2016.03.001

Cited by 3 publications

(5 citation statements)

References 27 publications

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“…The results show that both asymmetries are positively linked to trade intensity. First, asymmetric volatility (γ<0) is almost universally observed in the advanced and the emerging markets, consistent with the findings of Huang and Zhu (2004), Long et al (2014), Christensen et al (2015) and Smith (2016). However, many frontier markets do not show asymmetric volatility where trading intensity is much lower.…”

Section: Resultssupporting

confidence: 85%

“…When investigating asymmetric volatility in individual markets, univariate asymmetric GARCH models such as the exponential GARCH (Nelson, 1991) and the GJR-GARCH model (Glosten, Jagannathan, & Runkle, 1993) are most commonly employed, e.g., Smith (2015Smith ( , 2016, Zhang and Li (2008) and Awartani and Corradi (2005), where asymmetric power GARCH (Ding, Granger, & Engle, 1993) is also used. However, the examination of spillovers between markets requires multivariate models.…”

Section: Methodsmentioning

confidence: 99%

“…The reason for this missing link is that the existing studies focus little on smaller and lessinsensitively traded markets such as frontier markets. For example, an abundance of studies examine the asymmetric volatility in the context of advanced (Badshah et al, 2016;Chkili, Aloui, & Nguyen, 2012;Smith, 2016) or large emerging markets such as BRIC (Christensen, Nielsen, & Zhu, 2015;Hou, 2013;Long, Tsui, & Zhang, 2014;X. Wang et al, 2015).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks

Newaz

Park

2019

The Quarterly Review of Economics and Finance

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Section: Resultssupporting

confidence: 85%

Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks

Newaz

Park

2019

The Quarterly Review of Economics and Finance

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“…Hasil ini membuktikan bahwa H1 ditolak karena efek hari Senin tidak berpengaruh secara signifikan terhadap Indeks SRI-KEHATI. Temuan ini menunjukkan bahwa investor tidak terlalu menganggap efek hari Senin sebagai faktor yang terlalu memengaruhi pasar modal, dikarenakan fenomena spesial lebih dianggap berpengaruh pada pasar modal (Chiah & Zhong, 2021;Izadi & Noman, 2020;Smith, 2016). H2: efek hari Jumat berpengaruh signifikan terhadap Indeks SRI-KEHATI.…”

Section: Hasil Uji Tunclassified

“…Melalui hasil tersebut dapat disimpulkan bahwa efek hari Jumat tidak berpengaruh secara signifikan terhadap Indeks SRI-KEHATI dikarenakan nilai signifikansi masih berada di atas nilai 0.05. Pembuktian ini menunjukkan hasil yang sama seperti H1, di mana efek hari Jumat juga turut dianggap sebagai faktor yang tidak berpengaruh terhadap indeks saham, yang juga turut memiliki kesamaan dengan penelitian (Chiah & Zhong, 2021;Izadi & Noman, 2020;Smith, 2016). H3: suku bunga berpengaruh signifikan terhadap Indeks SRI-KEHATI.…”

Section: Hasil Uji Tunclassified

Pengaruh Indikator Makroekonomi terhadap Indeks SRI-KEHATI yang Dimoderasi Variabel Konfirmasi Kasus COVID-19

Kho,

Yulfiswandi

2024

JMBK

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Pasar modal merupakan salah satu faktor terpenting dalam perkembangan perekonomian Indonesia dan dapat digunakan sebagai media untuk berinvestasi. Di Indonesia terdapat Indeks SRI-KEHATI yang saat ini cukup menarik perhatian. Faktor makroekonomi seperti kurs, tingkat inflasi, jumlah uang yang beredar, efek hari Senin, dan efek hari Jumat merupakan variabel yang cukup sering disebutkan dalam pengaruhnya terhadap indeks saham, terlebih di masa pandemi dan setelah pandemi COVID-19 ini, pasar modal mengalami fluktuasi dan kecenderungan depresiasi. Penelitian ini bertujuan untuk menguji pengaruh dari efek hari Senin, efek hari Jumat, tingkat suku bunga, tingkat inflasi, dan jumlah uang yang beredar terhadap indeks saham dengan COVID-19 sebagai moderasi. Jumlah sampel yang digunakan dalam penelitian ini berjumlah 958 data sampel yang merupakan data bulanan dari 1 Januari 2019 hingga 30 November 2022 dengan motode regresi linear berganda. Hasil penelitian menunjukkan bahwa variabel tingkat suku bunga, jumlah uang yang beredar, dan pandemi COVID-19 signifikan memengaruhi Indeks SRI-KEHATI, sedangkan variabel efek hari Senin, efek hari Jumat, dan inflasi tidak berpengaruh signifikan.

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Absence of the weekend effect and industry-style portfolios

Izadi

Noman

2019

JFEP

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Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

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Weekday variation in the leverage effect: A puzzle

Cited by 3 publications

References 27 publications

The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks

The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks

Pengaruh Indikator Makroekonomi terhadap Indeks SRI-KEHATI yang Dimoderasi Variabel Konfirmasi Kasus COVID-19

Absence of the weekend effect and industry-style portfolios

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