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A twist on the Monday effect in stock prices: Evidence from the U.S. and foreign stock markets

โœ Scribed by Jeffrey F. Jaffe; Randolph Westerfield; Christopher Ma

Book ID
116134650
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
583 KB
Volume
13
Category
Article
ISSN
0378-4266

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This study examines the short-and long-term dependence in the United States and 21 international equity market indexes. Two heteroscedastic-robust testing methods, the modified rescaled range analysis and the rescaled variance ratio test, are employed to test for the existence of dependence. The evi