Motivated by the literature on investor sentiment and assuming that terrorist activity
influences investor mood, in this paper we explore whether terrorism exerts a significant …

We re-examine the day-of-the-week effect for eleven indexes from nine countries during the
1969–1992 period. The standard methodology as well as the moving average methodology …

This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE
100, Mid 250 and 350 indices, and the accompanying industry baskets, for the period …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface
however there remain systematic day-of-the-week effects only visible when returns are …

This paper investigates the existence of security price anomalies, or 'calendar effects' in the
Financial Times Industrial Ordinary Shares Index over a 60 year period: 1 July 1935 through …

Academic researchers have spent considerable effort attempting to document and, with
limited success, to explain the tendency for asset returns to be negative on Monday. In …

In this article we test the weak form of the efficient market hypothesis for Central and Eastern
Europe (CEE) equity markets for the period 1999–2009. To test weak-form efficiency in the …

This paper systematically examines daily returns of the Thai Stock Market Index to determine
whether there is evidence of calendar effects due to the day of the week, the month of the …

Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH
representation Page 1 Modelling the day-of-the-week eVect in the Kuwait Stock Exchange: a …