References

Abraham, A. and D.L. Ikenberry, 1994. The individual investor and the weekend effect. J. Financial Quant. Anal., 29: 263-277.
Direct Link  |  

Agathee, U.S., 2008. Day of the week effects: Evidence from the Stock Exchange of Mauritius (SEM). Int. Res. J. Finance Econ., 17: 7-14.

Agrawal, A. and K. Tandon, 1994. Anomalies or illusions: Evidence from stock markets in eighteen countries. J. Int. Money Finance, 13: 83-106.
Direct Link  |  

Amanulla, S. and M. Thiripalraiu, 2001. Week end effect: New evidence from the Indian stock market. Vikalpa, 26: 33-50.

Apolinario, R.M.C., O.M. Santana, L.J. Sales and A.R. Caro, 2006. Day of the week effect on european stock markets. Int. Res. J. Finance Econ., 2: 53-70.
Direct Link  |  

Baker, H.K., A. Rahman and S. Saadi, 2008. The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. Rev. Financial Econ., 17: 280-295.
CrossRef  |  Direct Link  |  

Bera, A.K. and C.M. Jarque, 1980. Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Econ. Lett., 6: 255-259.
Direct Link  |  

Bhattacharya, K., N. Sarkar and D. Mukhopadhyay, 2003. Stability of the day of the week effect return and volatility at the Indian capital market: A GARCH approach with proper specification. Applied Financial Econ., 13: 553-563.
CrossRef  |  Direct Link  |  

Black, F., 1976. Studies of stock market volatility changes proceedings of the american statistical association. Bus. Econo. Stud. Section, 70: 177-181.

Board, J.L.G. and C.M.S. Sutcliffe, 1988. The weekend effect in UK stock market returns. J. Bus. Finance Account., 15: 199-213.
CrossRef  |  Direct Link  |  

Bodla, B.S.and K. Jindal, 2006. Seasonal anomalies in stock returns: Evidence from India and the US. Decision, 33: 163-178.
Direct Link  |  

Chaudhury, S.K., 1991. Seasonality in share returns: Preliminary evidence on day of the week effect. Chartered Accountant, 40: 407-409.

Choudhary, K. and S. Choudhary, 2008. Day-of-the-week effect: Further empirical evidence. Asia-Pacific Bus. Rev., 4: 67-74.
Direct Link  |  

Connolly, R.A., 1989. An examination of the robustness of the weekend effect. J. Financial Quantitative Anal., 24: 133-169.
Direct Link  |  

Connolly, R.A., 1991. A posterior odds analysis of the weekend effect. J. Econ., 49: 51-104.
Direct Link  |  

Cross, F., 1973. The behavior of stock prices on fridays and mondays. Financial Anal. J., 29: 67-69.
Direct Link  |  

Dyckman, T.R. and D. Morse, 1986. Efficient Capital Markets and Accounting: A Critical Analysis. Prentice Hall, United States.

Engle, R.F. and V.K. Ng, 1993. Measuring and testing the impact of news on volatility. J. Finance, 48: 1749-1778.
Direct Link  |  

French, K.R., 1980. Stock returns and the weekend effect. J. Financial Econ., 8: 55-69.
CrossRef  |  

Gibbons, M.R. and P. Hess, 1981. Day of the week effects and asset returns. J. Bus., 54: 579-596.
Direct Link  |  

Glaosten, L.R., R. Jagannathan and D.E. Runkle, 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. J. Finance, 48: 1779-1801.
Direct Link  |  

Goswami, R. and R. Anshuman, 2000. Day of the week effect on bombay stock exchange. ICFAI J. Applied Finance, 6: 31-46.

Jaffe, J. and R. Westerfield, 1985. The week-end effect in common stock returns: The international evidence. J. Finance, 40: 433-454.
Direct Link  |  

Keim, D.B. and R.F. Stambaugh, 1984. A further investigation of weekend effects in stock returns. J. Finance, 39: 819-840.
Direct Link  |  

Kim, Z.W., 1988. Capitalizing on the weekend effect. J. Portfolio Manage., 14: 59-63.
CrossRef  |  Direct Link  |  

Kiymaz, H. and H. Berument, 2003. The day of the week effect on stock market volatility and volume: International evidence. Rev. Financial Econ., 12: 363-380.
CrossRef  |  Direct Link  |  

Lakanishok, J. and M. Levi, 1982. Weekend effects in stock returns: A note. J. Finance, 37: 883-889.
Direct Link  |  

Lakonishok, J. and S. Smidt, 1988. Are seasonal anomalies real? A ninety-year perspective. Rev. Financial Stud., 1: 403-425.
CrossRef  |  Direct Link  |  

Leroy, S.F., 1973. Risk aversion and the martingale property of stock prices. Int. Econ. Rev., 14: 436-446.
Direct Link  |  

Lucas, R.E., 1978. Asset prices in the exchange economy. Econometrica, 46: 1429-1445.
Direct Link  |  

Malkiel, B.G. and E.F. Fama, 1970. Efficient capital markets: A review of theory and empirical work. J. Fin., 25: 383-417.
CrossRef  |  Direct Link  |  

Marrett, G.E. and A.C. Worthington, 2008. The day-of-the-week effect in the ustralian stock market: An empirical note on the market industry and small cap effects. Int. J. Bus. Manage., 3: 3-8.
Direct Link  |  

McGowan, Jr C.B. and I. Ibrihim, 2009. An analysis of the day-of-the-week effect in the Russian stock market. Int. Bus. Econ. Res. J., 8: 25-30.
Direct Link  |  

Mills, T.C. and J.A. Coutts, 1995. Calendar effects in the london stock exchange FTSE indices. Eur. J. Finance, 1: 79-94.

Nath, G.C. and M. Dalvi, 2005. Day-of-the-week effect and market efficiency-evidence from indian equity market using high frequency data of national stock exchange. ICFAI J. Applied Finance, 11: 5-25.
Direct Link  |  

Pettengill, G.N., 1989. Holiday closings and security returns. J. Financial Res., 12: 57-67.
Direct Link  |  

Poshakwale, S., 1996. Evidence on weak form of efficiency and day of the week effect in the Indian stock market. Finance India, 10: 605-616.
Direct Link  |  

Raj, M. and D. Kumari, 2006. Day-of-the-week and other market anomalies in the Indian stock market. Int. J. Emerg. Markets, 1: 235-246.
CrossRef  |  

Samuelson, P.A., 1965. Proof that properly anticipated prices fluctuate randomly. Industrial Manage. Rev., 6: 41-50.
Direct Link  |  

Sarma, S.N., 2004. Stock market seasonality in an emerging market. Vikalpa, 29: 35-41.
Direct Link  |  

Shiller, R., 1989. Market volatility for stock market index and stock index futures. J. Futures Markets, 8: 115-121.

Smirlock. M. and L. Starks, 1986. Day-of-the-week and intraday effects in stock returns. J. Financial Econ., 17: 197-210.
Direct Link  |  

Sutheebanjard, P. and W. Premchaiswadi, 2010. Analysis of calendar effects: Day-of-the-week effect on the stock exchange of Thailand (SET). Int. J. Trade Econ. Finance, 1: 57-62.
Direct Link  |  

Tong, W.S., 2000. International evidence on weekend anomalies. J. Financial Res., 23: 495-522.

Yadav, P.K. and P.F. Pope, 1992. Intraweek and intraday seasonalities in stock market risk premia-cash and futures. J. Banking Fin., 16: 233-270.
Direct Link  |  

Zakoian, J.M., 1994. Threshold heteroskedastic models. J. Econ. Dyn. Control, 18: 931-955.
Direct Link  |