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Title: Seasonal behaviour of the volatility on European stock markets
Authors: Jordán Sales, María Lourdes 
Cáceres Apolinario, Rosa María 
Maroto Santana, Octavio 
Rodríguez Caro, Alejandro Manuel 
UNESCO Clasification: 5310 Economía internacional
Keywords: Mercados
Issue Date: 2006
Publisher: 1743-355X
Journal: WIT Transactions on Modelling and Simulation
Conference: 2nd International Conference on Computational Finance and its Applications, COMPUTATIONAL FINANCE 2006, CF06 
Abstract: The existence of seasonal behaviour in return and volatility of different international stock exchanges may be considered as an indication of non-integrated financial markets. A type of this abnormal behaviour is the day of the week effect, which implies investment opportunities. This type of opportunity is studied in this paper, focused on the analysis of the day of the week effect on the major European stock markets using GARCH and T-ARCH models. Results show evidence in favour of day of the week effect in the volatility in the most of the studied countries.
ISBN: 1845641744
ISSN: 1743-355X
DOI: 10.2495/CF060261
Source: WIT Transactions on Modelling and Simulation[ISSN 1743-355X],v. 43, p. 267-275
Appears in Collections:Actas de congresos
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