DAY OF THE WEEK EFFECTS AND COMMODITY PRICE CHANGES

被引：16

作者：

CHANG, EC

KIM, CW

机构：

[1] UNIV MARYLAND,DEPT FINANCE,COLLEGE PK,MD 20742

[2] UNIV IOWA,DEPT FINANCE,IOWA CITY,IA 52242

来源：

JOURNAL OF FUTURES MARKETS | 1988年 / 8卷 / 02期

关键词：

D O I：

10.1002/fut.3990080209

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：229 / 241

页数：13

共 12 条

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[2]

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[3]

DYL EA, 1986, J FUTURES MARKETS, V6, P514

[4]

FAMA E, 1965, J BUS, V28, P34

[5] STOCK RETURN VARIANCES - THE ARRIVAL OF INFORMATION AND THE REACTION OF TRADERS [J].

FRENCH, KR ;

ROLL, R .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (01) :5-26

[6] STOCK RETURNS AND THE WEEKEND EFFECT [J].

FRENCH, KR .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :55-69

[7] AN INVESTIGATION INTO SEASONALITY IN THE FUTURES MARKET [J].

GAY, GD ;

KIM, TH .

JOURNAL OF FUTURES MARKETS, 1987, 7 (02) :169-181

[8] DAY OF THE WEEK EFFECTS AND ASSET RETURNS [J].

GIBBONS, MR ;

HESS, P .

JOURNAL OF BUSINESS, 1981, 54 (04) :579-596

[9]

Godfrey M., 1964, KYKLOS, V17, P1, DOI DOI 10.1111/J.1467-6435.1964.TB02458.X

[10]

JOHNSTON E, 1986, DAY WEEK EFFECTS FIN

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