کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085311 | 1477948 | 2008 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International day-of-the-week effects: An empirical examination of iShares
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Ample evidence suggests that day-of-the-week patterns exist in US and foreign equity returns. We extend the evidence on the day-of-the-week effect in equity returns by examining the return patterns of iShares for 17 countries and Standard and Poor's Depository Receipts (SPDRs) to establish whether previously observed predictabilities in equity returns are reflected in iShares' returns. We utilize a split sample to examine return patterns and develop trading rules using the initial subsample. We then test those trading rules out of sample. Empirical results reveal that iShares exhibit day-of-the-week return patterns that can be exploited by informed traders.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 4, September 2008, Pages 699-715
Journal: International Review of Financial Analysis - Volume 17, Issue 4, September 2008, Pages 699-715
نویسندگان
M. Imtiaz Mazumder, Ting-Heng Chu, Edward M. Miller, Larry J. Prather,