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AN EMPIRICAL ANALYSIS OF THE TRENDS OF THE EUROPEAN FINANCIAL MARKETS IN THE LAST DECADE
Name of Author
Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness.
JEL Codes: G14, G15
DATA AND METHODOLOGY
Daily Returns Analysis
Summary of Maximum/Minimum Returns/Standard Deviations of the NAFM for the Period January 2nd 1997- December 31st, 2004.
Day of Occurrence
The day-of-the-week effect
Annual Returns Analysis
Aggarwal, R & Rivoli, P. (1989) Seasonal day-of-the week effects in four emerging stock markets, The Financial Review, 24, 541-50
Cross, F. (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst Journal, 29, pp. 67-69.
Snedecor, G. W. and Cochran, W.G. (1976) Statistical Methods. Ames: Iowa State University Press
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