The day-of-the-week effect: the civets stock markets case
Finding patterns in the behavior or performance of financial markets has been a subject of interest for both analysts and academics. We use GARCH and IGARCH models with covariates to estimate the day- of-the-week (DOW) effect on both volatility and daily returns of the stock exchange markets for the...
- Autores:
-
Alonso Cifuentes, Julio César
Gallo Córdoba, Beatriz Eugenia
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2013
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/79119
- Acceso en línea:
- http://search.ebscohost.com/login.aspx?direct=true&profile=ehost&scope=site&authtype=crawler&jrnl=1499691X&AN=94428549&h=HxF/U1yTKYV3qQ5SexoUtgql4gOIzbl1DQXHu6Ej4mninVcf65/kbZf/yP8JvMRy83MLNH4GD6pxuaJOrhOGQw==&crl=c
http://www.na-businesspress.com/JABE/CordobaBEG_Web15_3_.pdf
http://hdl.handle.net/10906/79119
- Palabra clave:
- Mercados financieros
Economía
Mercado de valores
Mercado bursatil
Economics
- Rights
- openAccess
- License
- https://creativecommons.org/licenses/by-nc-nd/4.0/
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Alonso Cifuentes, Julio CésarGallo Córdoba, Beatriz EugeniaToronto (inhabited place) Coordinates: Lat: 43 42 00 N degrees minutes Lat: 43.7000 decimal degrees Long: 079 25 00 W degrees minutes Long: -79.4167 decimal degreeseng2016-03-29T03:51:51Z2016-03-29T03:51:51Z2013-01-011927-033Xhttp://search.ebscohost.com/login.aspx?direct=true&profile=ehost&scope=site&authtype=crawler&jrnl=1499691X&AN=94428549&h=HxF/U1yTKYV3qQ5SexoUtgql4gOIzbl1DQXHu6Ej4mninVcf65/kbZf/yP8JvMRy83MLNH4GD6pxuaJOrhOGQw==&crl=chttp://www.na-businesspress.com/JABE/CordobaBEG_Web15_3_.pdfhttp://hdl.handle.net/10906/79119instname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/Finding patterns in the behavior or performance of financial markets has been a subject of interest for both analysts and academics. We use GARCH and IGARCH models with covariates to estimate the day- of-the-week (DOW) effect on both volatility and daily returns of the stock exchange markets for the CIVETS. We found a DOW effect on the daily returns for all of the CIVETS’ stock markets. DOW effect was also found for the daily returns’ volatility of some of the stock markets. Finally, there is evidence of lags in the DOW effect for the stock markets we analyze.15 páginasDigitalengNorth American Business PressFacultad de Ciencias Administrativas y EconómicasEconomíaDepartamento de EconomíaTorontoJournal of Applied Business & Economics, Vol. 15 No. 3EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos. Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2Mercados financierosEconomíaMercado de valoresMercado bursatilEconomicsThe day-of-the-week effect: the civets stock markets caseinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Comunidad Universidad Icesi – Investigadores153116102ORIGINALalonso_civets_stock_2013.pdfalonso_civets_stock_2013.pdfapplication/pdf806366http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79119/1/alonso_civets_stock_2013.pdfc03fe40283ed8a1e1b72b3323929cc5cMD5110906/79119oai:repository.icesi.edu.co:10906/791192018-09-11 13:59:41.256Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co |
| dc.title.spa.fl_str_mv |
The day-of-the-week effect: the civets stock markets case |
| title |
The day-of-the-week effect: the civets stock markets case |
| spellingShingle |
The day-of-the-week effect: the civets stock markets case Mercados financieros Economía Mercado de valores Mercado bursatil Economics |
| title_short |
The day-of-the-week effect: the civets stock markets case |
| title_full |
The day-of-the-week effect: the civets stock markets case |
| title_fullStr |
The day-of-the-week effect: the civets stock markets case |
| title_full_unstemmed |
The day-of-the-week effect: the civets stock markets case |
| title_sort |
The day-of-the-week effect: the civets stock markets case |
| dc.creator.fl_str_mv |
Alonso Cifuentes, Julio César Gallo Córdoba, Beatriz Eugenia |
| dc.contributor.author.spa.fl_str_mv |
Alonso Cifuentes, Julio César Gallo Córdoba, Beatriz Eugenia |
| dc.subject.spa.fl_str_mv |
Mercados financieros Economía Mercado de valores Mercado bursatil |
| topic |
Mercados financieros Economía Mercado de valores Mercado bursatil Economics |
| dc.subject.eng.fl_str_mv |
Economics |
| description |
Finding patterns in the behavior or performance of financial markets has been a subject of interest for both analysts and academics. We use GARCH and IGARCH models with covariates to estimate the day- of-the-week (DOW) effect on both volatility and daily returns of the stock exchange markets for the CIVETS. We found a DOW effect on the daily returns for all of the CIVETS’ stock markets. DOW effect was also found for the daily returns’ volatility of some of the stock markets. Finally, there is evidence of lags in the DOW effect for the stock markets we analyze. |
| publishDate |
2013 |
| dc.date.issued.none.fl_str_mv |
2013-01-01 |
| dc.date.accessioned.none.fl_str_mv |
2016-03-29T03:51:51Z |
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2016-03-29T03:51:51Z |
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info:eu-repo/semantics/article |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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Artículo |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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publishedVersion |
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1927-033X |
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http://www.na-businesspress.com/JABE/CordobaBEG_Web15_3_.pdf |
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http://hdl.handle.net/10906/79119 |
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instname: Universidad Icesi |
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reponame: Biblioteca Digital |
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http://search.ebscohost.com/login.aspx?direct=true&profile=ehost&scope=site&authtype=crawler&jrnl=1499691X&AN=94428549&h=HxF/U1yTKYV3qQ5SexoUtgql4gOIzbl1DQXHu6Ej4mninVcf65/kbZf/yP8JvMRy83MLNH4GD6pxuaJOrhOGQw==&crl=c http://www.na-businesspress.com/JABE/CordobaBEG_Web15_3_.pdf http://hdl.handle.net/10906/79119 |
| dc.language.iso.none.fl_str_mv |
eng |
| language |
eng |
| dc.relation.ispartof.spa.fl_str_mv |
Journal of Applied Business & Economics, Vol. 15 No. 3 |
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https://creativecommons.org/licenses/by-nc-nd/4.0/ |
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info:eu-repo/semantics/openAccess |
| dc.rights.license.none.fl_str_mv |
Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
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http://purl.org/coar/access_right/c_abf2 |
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https://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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15 páginas |
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Digital |
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Toronto (inhabited place) Coordinates: Lat: 43 42 00 N degrees minutes Lat: 43.7000 decimal degrees Long: 079 25 00 W degrees minutes Long: -79.4167 decimal degreeseng |
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North American Business Press |
| dc.publisher.faculty.none.fl_str_mv |
Facultad de Ciencias Administrativas y Económicas |
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Economía |
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Departamento de Economía |
| dc.publisher.place.spa.fl_str_mv |
Toronto |
| institution |
Universidad ICESI |
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http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79119/1/alonso_civets_stock_2013.pdf |
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