Day-of-the-week effects in financial contagion

Autor:	Robert D.J. Anderson, Bartosz Gebka, Deeya Sewraj
Rok vydání:	2019
Předmět:	050208 finance Financial contagion Names of the days of the week 0502 economics and business 05 social sciences Financial crisis Economics Monetary economics 050207 economics Finance Stock (geology)
Zdroj:	Finance Research Letters. 28:221-226
ISSN:	1544-6123
DOI:	10.1016/j.frl.2018.05.002
Popis:	We propose a new approach to test for financial contagion, which accounts for the existence of day-of-the-week effects in stock returns. For a set of European markets, we provide evidence that contagion effects from the U.S. during the 2007-9 financial crisis varied across days of the week.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::63fb583e8cce0705eb5786ce57daa539 https://doi.org/10.1016/j.frl.2018.05.002 Zobrazit plný text záznamu Full Text from ScienceDirect