A note on information seasonality and the disappearance of the weekend effect in the UK stock market
By J. Steeley. 2001
168 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/592b286fbaf60c92889966f027ac566a4afcb3b7
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In Economics and Econometrics
- Yoon-Jae Whang
- Oliver B. Linton
- John R. Doyle
- Catherine Huirong Chen
- D. Chetverikov
- Arthur Lewbel
- B. Hansen
- S. Lee
In Finance
- Yoon-Jae Whang
- N. Kohers
- Oliver B. Linton
- John R. Doyle
- Catherine Huirong Chen
- Daniel P. McMillen
- L. Pham
- Liangjun Su
Citations in the corpus
- The wandering weekday effect in major stock markets. (2009, background): “Settlement procedures change, governments change the days on which they announce key economic indicators (Steeley, 2001), the availability of electronic trading, the changing nature of the weekend, all have the potential to alter the significance of each day of the week.”
- The disappearing day-of-the-week effect in the world's largest equity markets (2004, background): “Two recent studies focusing on Korea and the United Kingdom have suggested that the day-of-the-week effect has disappeared in these countries starting in the 1990s, (Steeley, 2001; Kamath and Chusanachoti, 2002).”
- Asset pricing and ambiguity: Empirical evidence (2018, unknown): “Chang et al. (1998) and Steeley (2001), for example, show that the main effect of macroeconomic news occurs on these days, since most of the macroeconomic are clustered on these two days (for example the unemployment rate and nonfarm payroll are always announced on Fridays) .”
- Are there Monday effects in stock returns: a stochastic dominance approach (2007, background): “Steeley (2001) found something similar in the FTSE.”
- Seasonality, risk and return in daily COMEX gold and silver data 1982–2002 (2005, unknown): “@Beginning the formal analysis, Table 4 shows the results of a regression analysis of the first moments. There does not appear to be an issue of daily seasonality in the first moment as none of the regressions show a significant F -statistic, indicating that overall seasonality is not evident. Ho”