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AN EMPIRICAL EXAMINATION OF THE TRENDS OF THE NORTH AMERICAN FINANCIAL MARKETS IN THE LAST DECADE
Name of Author1
Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness
JEL Codes: G14, G15
II. LITERATURE REVIEW
III. DATA AND METHODOLOGY
IV. EMPIRICAL RESULTS
A. Daily Returns Analysis
B. The day-of-the-week effect
Summary of Maximum/Minimum Returns/Standard Deviations of the NAFM for the Period January 2nd 1997- December 31st, 2004.
Name of Index/
Day of Occurrence
Annual Returns Analysis
Cross, F. (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst Journal, 29, pp. 67-69.
J. Lakonishok, and Levi, M. (1982), Week-end effects on stock returns: a note, Journal of Finance, 37, 883-89.
G. W. Snedecor and Cochran, W.G. (1976), Statistical Methods. Ames: Iowa State University Press.
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