The day of the week effect on stock market volatility

By Hakan Berument, Halil Kiymaz. 2001

357 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35883eef20f2a07b26b53fd1ed3d09001d1ae7ba

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Hakan Berument
2. Halil Kiymaz

In Finance

1. Hakan Berument
2. Halil Kiymaz
3. N. Kohers

Citations in the corpus

• The disappearing day-of-the-week effect in the world's largest equity markets (2004, background): “1993) most of the evidence centers on negative news releases over the weekend (Penman, 1987; Berument and Kiymaz, 2001).”
• The day of the week effect on stock market volatility and volume: International evidence (2003, methodology): “Berument and Kiymaz (2001) use the S&P 500 index data and document that there are differences in stock market volatility across the days of the week, with the highest volatility observed on Fridays.”