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AN EMPIRICAL EXAMINATION OF THE TRENDS OF THE NORTH AMERICAN FINANCIAL MARKETS IN THE LAST DECADE

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ABSTRACT

 

Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness

 

JEL Codes: G14, G15

 

I. INTRODUCTION

           

II. LITERATURE REVIEW

III. DATA AND METHODOLOGY

IV. EMPIRICAL RESULTS

 

 

A. Daily Returns Analysis

B. The day-of-the-week effect

 

Table 1

 

Summary of Maximum/Minimum Returns/Standard Deviations of the NAFM for the Period January 2nd 1997- December 31st, 2004.

Name of Index/

Country

Maximum

return/Std. Dev.

Day of

Occurrence

Minimum

Return/

Std. Dev.

Day of Occurrence

 

 

 

 

 

 

 

 

 

 

 

 

  1. Annual Returns Analysis

  2. Homoskedasticity

 

  1. CONCLUSION

 

 

REFERENCES

 

  1. Cross, F.  (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst Journal, 29, pp. 67-69.
     

  2. J. Lakonishok, and Levi, M. (1982), Week-end effects on stock returns: a note, Journal of Finance, 37, 883-89.
     

  3. G. W. Snedecor and Cochran, W.G. (1976), Statistical Methods. Ames: Iowa State University Press.

APPENDIX

 

 


 


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