Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries
This paper examines day of the week and month of the year effects in seventeen European stock market indexes in the period 1994-2007. We discuss the shortcomings of model specifications and tests used in previous work, and propose a simpler specification, usable for detecting all types of calendar e...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2010
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| Texto completo: | http://hdl.handle.net/10400.5/1825 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/1825 |