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• W1970034577 abstract "This article investigates the day of the week anomaly in the FTSE 100 Share Index over an 11-year time period from 1 January 1986 to 31 December 1997. Its focus is to assess whether the day of the week effect continues to persist once transactions costs are considered. Unlike previous literature it uses the bid–ask spread as a proxy for transactions costs. It finds that once returns become robust to transactions costs the anomaly appears to fade away. It then extends the research by looking at the time-varying volatility of stock returns with use of a GARCH model. The GARCH results further support the fact that transaction costs appear to die away the day of the week anomaly in the UK Stock market." @default.
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• W1970034577 date "2004-02-01" @default.
• W1970034577 modified "2023-10-16" @default.
• W1970034577 title "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK" @default.
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• W1970034577 doi "https://doi.org/10.1080/0960310042000187388" @default.
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