Диссертация (1138295), страница 22
Текст из файла (страница 22)
– pp. 1388-1399.58.Draper P. and K. Paudyal. Explaining Monday Returns // Journal of FinancialResearch, 25 (4). – 2002. – pp. 507-520.59.DuBois M. and P. Louvet. The Day-of-the-Week Effect: The InternationalEvidence // Journal of Banking and Finance, Vol. 20, Issue 9. – 1996. – pp. 14631484.60.Dyl E. and E. Maberly. A Possible Explanation of the Weekend Effect //Financial Analysts Journal, 44. – 1998. – pp.
83-84.61.Dyl E. and S. Martin. Weekend Effects on Stock Returns: A Comment // Journalof Finance, No. 40. – 1985. – pp. 347-349.62.Easton S.A. and R.W. Faff. An investigation of the robustness» of the day-of-theweek effect in Australia // Applied Financial Economics, 4. – 1994. – pp.
99-110.63.Fama E. F. Efficient capital markets: A Review of Theory and Empirical Work //Journal of Finance, 25. – 1970. – pp. 383-417.64.Fama E. F. Efficient Capital Markets: II // Journal of Finance, 46. – 1991. – pp.1575-1617.65.Fama E. F. The behavior of stock market prices // Journal of Busmess, 38. –1965. – pp. 34-105.13466.Fields M. Stock Prices: A Problem in Verification // Journal of Business, Vol.
4,No. 4. – 1931. – pp. 415-418.67.Fishe R., T. Gosnell and D. Lasser. Good News, Bad News, Volume and theMonday Effect // Journal of Business Finance and Accounting, 22 (6). – 1993. –pp. 881-892.68.Flannery M. and A. Protopapadakis. From T-Bills to Common Stocks:Investigating the Generality of Intra-Week Return Seasonality // Journal ofFinance, 43.
– 1988. – 431-450.69.Foster F. and S. Viswanathan. A Theory of the Intraday Variations in Volume,Variance and Trading Costs in Securities Markets // Review of Financial Studies,3. – 1990. – pp. 593-624.70.French K. R. Stock Returns and the Weekend Effect // Journal of FinancialEconomics, 8. – 1980. – pp. 55-69.71.Gardeazabal J. and M. Regulez. A Factor Model of Seasonality in Stock Returns// The Quarterly Review of Economics and Finance, vol. 44. – 2004. – pp. 224236.72.Gibbons M.
and P. Hess. Day Effects and Asset Returns // Journal of Business,54 (4). – 1981. – pp. 579-596.73.Glosten L. R., R. Jagannatan, D. E. Runkle. On the Relation between theExpected Value and the Volatility of the Nominal Excess Returns on Stocks //Journal of Finance, 48. – 1993. – pp. 1779–1801.74.Gondhalekar V. and S. Mehdian. The Blue-Monday Hypothesis: Evidence Basedon Nasdaq Stocks, 1971-2000 // Quarterly Journal of Business and Economics,42, nos.
3 and 4. – 2003. – pp. 73-92.75.Gregoriou Α., A. Kontonikas and N. Tsitsianis. Does the Day of the Week EffectExist Once Transaction Costs Have Been Accounted for? Evidence From the UK// Applied Financial Economics, 14 (3). – 2002. – pp. 215-220.76.Gu Α. The Reversing Weekend Effect: Evidence from the U.S. Equity Markets //Review of Quantitative Finance and Accounting, 22 (1). – 2004. – pp. 5-14.13577.Harris L.
A Day-End Transaction Price Anomaly // Journal of Financial andQuantitative Analysis, Vol. 24, No. 1. – 1989. – pp. 29-45.78.Harris L. A Transaction Data Study of Weekly and Intradaily Patterns in StockReturns // Journal of Financial Economics, 16. – 1986. – pp. 99-117.79.Hindmarch S., D. Jentsch and D. Drew.
A Note on Canadian Stock Returns andthe Weekend Effect // Journal of Business Administration, 14. – 1984. – pp. 163172.80.Hussain F., K. Hamid, R. Akash and M. Khan. Day of the week effect and stockreturns: (Evidence from Karachi stock exchange-Pakistan) // Far East Journal ofPsychology and Business, 3 (1). – 2011. – pp. 25-31.81.Jaffe J. and R.Westerfield.
Is There a Monthly Effect in Stock Market Returns? //Journal of Banking and Finance, 13. – 1989. – pp. 237-244.82.Jaffe J. and R.Westerfield. Patterns in Japanese Common Stock Returns: Day ofthe Week and Turn of the Year Effect // Journal of Financial and QuantitativeAnalysis, Vol. 20 no. 2. – 1985. – pp. 261-272.83.Jaffe J. and R.Westerfield. The Weekend Effect in Common Stock Returns: TheInternational Evidence // Journal of Finance, Vol. 40, No, 2. – 1985. – pp. 433454.84.Jaffe J., R.
Westerfield and C. Ma. A Twist on the Monday Effect in Stock Price:Evidence from the U.S. and Foreign Stock Markets // Journal of Banking andFinance, 13. – 1989. – pp. 641-650.85.Johnston E., W. Kracaw and J. McConnell. Day-of-the-Week Effects in FinancialFutures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts // Journalof Financial and Quantitative Analysis, 26 (1). – 1991. – pp.
23-44.86.Jordan S. and B. Jordan. Seasonality in Daily Bond Returns // Journal ofFinancial and Quantitative Analysis, 26 (2). – 1991. – pp. 269-285.87.Kamara A. New evidence on the Monday seasonal in stock returns // Journal ofBusiness, 70. – 1997. – pp. 63-84.88.Kato K. Weekly Patterns in Japanese Stock Returns // Management Science, 36. –1990. – pp. 1031-1043.13689.Keef S. and P. McGuinness. Changes in Settlement Regime and the Modulationof Day-of the-Week Effects in Stock Returns // Applied Financial Economics, 11.– 2001.
– pp. 361-371.90.Keef S. P. and M. L. Roush. Day-of-the-week effects in the pre-holiday returns ofthe Standard and Poor’s 500 stock index // Applied Financial Economics, 15. –2005. – pp. 107-119.91.Keim D. and R. Stambaugh. A Further Investigation of the Weekend Effect inStock Returns // Journal of Finance, 39. – 1984. – 819-835.92.Kelly F. Why You Win or Lose: The Psychology of Speculation / Boston:Houghton Mifflin.
– 1930.93.Kim C. and J. Park. Holidays Effects and Stock Returns: Further Evidence //Journal of Financial and Quantitative Analysis, Vol. 29, No. 1. – 1994. – pp. 145157.94.Kim S. W. Capitalizing on the Weekend Effect // Journal of PortfolioManagement, 15. – 1988.
– pp. 59-63.95.Ko K. and S. Lee. International Behavior of Stock Prices on Monday: NineteenMajor Stock Markets // International Financial Market Integration. – 1993. – pp.329-353.96.Kross W. and D. Schroeder. An Empirical Investigation of the Effect of QuarterlyEarnings Announcement Timing on Stock Returns // Journal of AccountingResearch, 22 (1).
– 1984. – pp. 153-176.97.Lakonishok J. and E. Maberly. The Weekend Effect: Trading Patterns ofIndividual and Institutional Investors // Journal of Finance, Vol. 45, No. 1. –1990. – pp. 231-243.98.Lakonishok J. and M. Levi. Weekend effects on stock returns. A note // Journalof Finance, 37 (3). – 1982. – pp. 883-889.99.Lakonishok J. and S. Smidt. Are Seasonal Anomalies Real? A Ninety YearsPerspective // Review of Financial Studies, 1 (4).
– 1988. – pp. 403-425.137100. Liano K. and J. Lindley. An Analysis of the Weekend Effect within the MonthlyEffect // Review of Quantitative Finance and Accounting. 5 (4). – 1995. – pp.419-426.101. Liano K., G. Huang and B. Gup. A Twist on the Monday Effect in Stock Returns:A Note // Journal of Economics and Business, No. 45. – 1993. – pp.
61-67.102. Linn S. and L. Lockwood. Short-Term Stock Price Patterns: NYSE, AMEX, OTC// Journal of Portfolio Management, 15. – 1988. – pp. 30-34.103. Ma C. A Further Investigation of the Day-of-the-Week Effect in the Gold Market// Journal of Futures Markets, 6. – 1986. – pp. 409-420.104. Ma C. and P. Goebel. On the Seasonalities of Mortgage-Backed Security Prices //Journal of Real Estate Research, 6 (1).
– 1991. – pp. 19-38.105. Maberly E. Eureka! Eureka! Discovery of the Monday Effect Belongs to theAncient Scribes // Financial Analysts Journal, Vol. 51, No. 5. – 1995. – pp. 1011.106. Marquering W., J. Nisser and T. Valla. Disappearing anomalies: A dynamicanalysis of the persistence of anomalies // Applied Financial Economics, 16. –2006. – 291-302.107. Marrett G.
and A. Worthington. The Day-of-the-Week Effect in the AustralianStock Market: An Empirical Note on the Market, Industry and Small cap Effects// International Journal of Business and Management. – 2008. – pp. 3-8.108. Mbululu D. and C. Chipeta.
Day of the week effect: Evidence from nineeconomic sectors of JSE // Investment Analysts Journal, 75. – 2012. – pp. 55-65.109. McFarland J., R. Pettit and S. Sung. The Distribution of Foreign Exchange PricesChanges: Trading Day Effects and Risks Measurement // Journal of Finance, 37.– 1982. – pp. 693-715.110. McGowan Jr., C.
B. and I. Ibrihim. An analysis of the day-of-the-week effect inthe Russian stock market // International Business & Economics Research, 5. –2009. – pp. 25-30.138111. Mehdian S. and M. Perry. The Reversal of the Monday Effect: New Evidencefrom US Equity Markets // Journal of Business Finance & Accounting, Vol. 28.
–2001. – pp. 1043-1065.112. Merrill Α. The Behavior of Prices on Wall Street / Chappaqua, New York:Analysis Press. – 1966.113. Miller E. M. Why a weekend effect? // Journal of Portfolio Management, 14. –1988. – pp. 43-48.114. Miller E., L. Prather and M. Mazumder. Day-of-the-Week Effects among MutualFunds // Quarterly Journal of Business and Economics, 42, nos.
3 and 4. – 2003.– pp. 115-130.115. Mohamed Khaled Al-Jafari. An Empirical Investigation of the Day-of-the-WeekEffect on Stock Returns and Volatility: Evidence from Muscat Securities Market// International Journal of Economics and Finance, 4 (7). – 2012. – pp. 141-149.116. Najand M. and K. Yung. Conditional Geteroskedasticity and the Weekend Effectin S&P 500 Index Futures // Journal of Business Finance and Accounting, 21. –1994.
– pp. 603-612.117. Nelson D. B. Conditional Heteroscedasticity in Asset Returns: A New Approach// Econometrica, 59 (2). – 1991. – pp. 347–370.118. Osborne M. Periodic Structure in the Brownian Motion of Stock Prices //Operations Research, Vol. 10. – 1962. – pp. 345-379.119. Pattel J. M. and M. A. Wolfson. Good news, bad news, and the intraday timing ofcorporate disclosures // Accounting Review, 57. – 1982. – pp.