References
- Ajayi, R. A., Mehdian, S., & Perry, M. J. (2004). The Day-of-the-Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets. Emerging Markets Finance and Trade, 40(4), 53–62.
https://doi.org/10.1080/1540496X.2004.11052582 - Alam, M. N., Alam, Md. S., & Chavali, K. (2020). Stock Market Response during COVID-19 Lockdown Period in India: An Event Study. Journal of Asian Finance, Economics and Business. 7 (7): 131–137.
https://doi.org/10.13106/jafeb.2020.vol7.no7.131 - Apergis, N., & Apergis, E. (2020). The Role of Covid-19 for Chinese Stock Returns: Evidence from a GARCHX Model. Asia-Pacific Journal of Accounting & Economics, 1–9.
https://doi.org/10.1080/16081625.2020.1816185 - Apolinario, R. M. C., Santana, O. M., Sales, L. J., & Caro, R. A. (2006). Day of the Week Effect on European Stock Markets. International Research Journal of Finance and Economics. 2(2): 53–70.
- Ashraf, B. N. (2020a). Stock Markets’ Reaction to COVID-19: Cases or Fatalities? Research in International Business and Finance, 54, 101249.
https://doi.org/10.1016/j.ribaf.2020.101249 - Ashraf, B. N. (2020b). Economic Impact of Government Interventions during the COVID-19 Pandemic: International Evidence from Financial Markets. Journal of Behavioral and Experimental Finance, 27, 100371.
https://doi.org/10.1016/j.jbef.2020.100371 - Ashraf, B. N. (2021). Stock Markets’ Reaction to COVID-19: Moderating Role of National Culture. Finance Research Letters, 41, 101857.
https://doi.org/10.1016/j.frl.2020.101857 - Aslam, F., Mohmand, Y. T., Ferreira, P., Memon, B. A., & Khan, M. (2020). Network Analysis of Global Stock Markets at the Beginning of the Coronavirus Disease (Covid-19) Outbreak. Borsa Istanbul Review, 20, S49–S61.
https://doi.org/10.1016/j.bir.2020.09.003 - Baker, S. R., Bloom, N., Davis, S., Kost, K., Sammon, M., & Viratyosin, T. (2020). The Unprecedented Stock-Market Reaction to COVID-19, KelloggInsight. Chicago, IL: Kellogg School of Management, Northwestern University.
https://doi.org/10.3386/w26945 - Balaban, E. (1995). Day-of-the-Week Effects: New Evidence from an Emerging Stock Market. Applied Economics Letters. 2, 139–143.
https://doi.org/10.1080/135048595357465 - Bash, A. (2020). International Evidence of COVID-19 and Stock Market Returns: An Event Study Analysis. International Journal of Economics and Financial Issues, 10(4), 34–38.
https://doi.org/10.32479/ijefi.9941 - Ben Salem, S., Mansour, N., & Haddad, M. (2020). Health Crisis Covid-19 and the French Economy. Journal of the International Academy for Case Studies, 26(5), 1–10,
- Borges, M. R. (2009). Efficient Market Hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711–726.
https://doi.org/10.1080/1351847X.2010.495477 - Brooks, C., & Persand, G. (2001). Seasonality in Southeast Asian Stock Markets: Some New Evidence on the Day-of-the-Week Effects. Applied Economics Letters, 8(3):155–158.
https://doi.org/10.1080/13504850150504504 - Brusa, J., & Liu, P. (2004). The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors’ Trading Activities. Review of Quantitative Finance and Accounting, 23(1), 19–30.
https://doi.org/10.1023/B:REQU.0000037062.21050.3b - Butkute, V., & Moscinskas, P. (1998). The Descriptive Analysis of the Securities Markets of the Baltic States. Journal of Monetary Studies, 4, 17–31.
- Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2020). High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach. Research in International Business and Finance, 52, 101126.
https://doi.org/10.1016/j.ribaf.2019.101126 - Chukwuogor-Ndu, C. (2006). Stock Market Returns Analysis, Day-of-the-Week Effect, Volatility of Returns: Evidence from European Financial Markets 1997–2004. International Research Journal of Finance and Economics, 1, 112–124.
- Chundakkadan, R., & Nedumparambil, E. (2021). In Search of COVID-19 and Stock Market Behavior. Global Finance Journal, 100639.
https://doi.org/10.1016/j.gfj.2021.100639 - Cinko, M., Avci, E., Aybars, A., & Öner, M. (2015). Analyzing the Existence of the Day of the Week Effect in Selected Developed Country Stock Exchanges. International Journal of Economics and Finance, 7(5), 96–108.
https://doi.org/10.5539/ijef.v7n5p96 - Condoyanni, L., O’Hanlon, J., & Ward, C. W. (1987). Day of the Week Effects on Stock Returns: International Evidence. Journal of Business Finance & Accounting, 14(2), 159–174.
https://doi.org/10.1111/j.1468-5957.1987.tb00536.x - Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67–69.
https://doi.org/10.2469/faj.v29.n6.67 - Dias, R., Teixeira, N., Machova, V., Pardal, P., Horak, J., & Vochozka, M. (2020). Random Walks and Market Efficiency Tests: Evidence on US, Chinese and European Capital Markets within the Context of the Global Covid-19 Pandemic. Oeconomia Copernicana, 11(4), 585–608.
https://doi.org/10.24136/oc.2020.024 - Fama, E. F., Fisher, L., Jensen, M., & Roll, R. (1969). The Adjustment of Sock Prices to New Information. International Economic Review, 10(1), 1–21.
https://doi.org/10.2307/2525569 - Fanelli, D., & Piazza, F. (2020). Analysis and Forecast of COVID-19 Spreading in China, Italy and France. Chaos, Solitons Fractals 134, 109761.
https://doi.org/10.1016/j.chaos.2020.109761 - French, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8(1), 55–69.
https://doi.org/10.1016/0304-405X(80)90021-5 - Frezza, M., Bianchi, S., & Pianese, A. (2021). Fractal Analysis of Market (In)efficiency during the COVID-19. Finance Research Letters, 38, 101851.
https://doi.org/10.1016/j.frl.2020.101851 - Gibbons, M. R., & Hess, P. (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54, 579–596.
https://doi.org/10.1086/296147 - Gupta, S., Simon, K. I., & Wing, C. (2020). Mandated and Voluntary Social Distancing during the COVID-19 Epidemic: A Review. Working Paper Series, No. w28139. Cambridge, MA: National Bureau of Economic Research.
https://doi.org/10.3386/w28139 - Huo, X., & Qiu, Zh. (2020). How Does China's Stock Market React to the Announcement of the COVID-19 Pandemic Lockdown? Economic and Political Studies, 8(4), 436–461.
https://doi.org/10.1080/20954816.2020.1780695 - Jaffe, J., & Westerfield, R. (1985a). The Week-End Effect in Common Stock Returns: The International Evidence. Journal of Finance, 40, 433–454.
https://doi.org/10.1111/j.1540-6261.1985.tb04966.x - Jaffe, J., & Westerfield, R. (1985b). Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects. Journal of Financial & Quantitative Analysis, 20, 261–272.
https://doi.org/10.2307/2330959 - Just, M., & Echaust K. (2021). Stock Market Returns, Volatility, Correlation and Liquidity during the COVID-19 Crisis: Evidence from the Markov Switching Approach. Finance Research Letters, 37, 101775,
https://doi.org/10.1016/j.frl.2020.101775 - Keim, D. B., & Stambaugh, R. (1984). A Further Investigation of the Weekend Effect in Stock Returns. The Journal of Finance, 3, 819–835.
https://doi.org/10.1111/j.1540-6261.1984.tb03675.x - Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices. The Journal of Asian Finance, Economics, and Business, 7(7), 463–474.
https://doi.org/10.13106/jafeb.2020.vol7.no7.463 - Khattak, M. A., Ali, M., Aun, S., & Rizvi, R. (2021). Predicting the European Stock Market during COVID-19: A Machine Learning Approach, MethodsX, 8, 101198.
https://doi.org/10.1016/j.mex.2020.101198 - Kiete, K., & Uloza, G. (2005). The Information Efficiency of the Stock Markets in Lithuania and Latvia. Unpublished Working Paper, 75(7), 1–53.
- Klimasauskiene, D., & Moscinskiene, V. (1998). Problem of the Efficiency of the Lithuanian Capital Market. Journal of Monetary Studies, 2, 25–34.
- Kok, K. L., & Wong, Y. C. (2004). Seasonal Anomalies of Stocks in ASEAN Equity Markets. Sunway Academic Journal, 1, 1–11.
- Kvedaras, V., & Basdevant, O. (2002). Testing the Efficiency of Emerging Markets: The Case of the Baltic States.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.475.6507&rep=rep1&type=pdf - Lee, H. S. (2020). Exploring the Initial Impact of COVID-19 Sentiment on US Stock Market Using Big Data. Sustainability, 12, 6648.
https://doi.org/10.3390/su12166648 - Lyroudi, K. (2007). An Innovative Stock Market (OX) and the Day of the Week Effect. Working Paper, University of Macedonia, Department of Accounting and Finance, Greece.
- Lyroudi, K., Patev, P., & Kanaryan, N. (2003). Market Anomalies in the Central European Transition Stock Markets: The Day of the Week Effect. 2nd International Conference of the ASECU, Beograd, Serbia.
- Malafeyev, O., Awasthi, A., Kambekar, K. S., & Kupinskaya, A. (2019). Random Walks and Market Efficiency in Chinese and Indian Equity Markets. Statistics, Optimization & Information Computing, 7(1), 1–25.
https://doi.org/10.19139/soic.v7i1.499 - Martikainen, T., & Puttonen, V. (1996). Finnish Day-of-the-Week Effects. Journal of Business Finance & Accounting, 23(7), 1019–1032.
https://doi.org/10.1111/j.1468-5957.1996.tb01038.x - Mihailov, T., & Linowski, D. (2002). Testing Efficiency of the Latvian Stock Market: An Evolutionary Perspective. Available at SSRN 302285.
https://doi.org/10.2139/ssrn.302285 - Miralles, J. L., & Miralles M. M. (2000). An Empirical Analysis of the Weekday Effect on the Lisbon Stock Market over Trading and Non-Trading Periods. Portuguese Review of Financial Markets, 3(2), 5–14.
- Mookerjee, R., & Yu, Q. (1999). An Empirical Analysis of the Equity Markets in China. Review of Financial Economics, 8(1), 41–60.
https://doi.org/10.1016/S1058-3300(99)00006-3 - Niroomand, F., Metghalchi, M., & Hajilee, M. (2020). Efficient Market Hypothesis: A Ruinous Implication for Portuguese Stock Market. Journal of Economics and Finance, 44(4), 749–763.
https://doi.org/10.1007/s12197-020-09514-8 - Njindan, I. B. (2020). The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19. Emerging Markets Finance and Trade, 56(10), 2277–2297.
https://doi.org/10.1080/1540496X.2020.1784718 - Oprea, D. Ş., & Ţilica V. (2014). Day-of-the-Week Effect in Post-Communist East European Stock Markets. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(3) 2014, 119–129.
https://doi.org/10.6007/IJARAFMS/v4-i3/1058 - Ozili, P., & Arun, T. (2020). Spillover of COVID-19: Impact on the Global Economy. Available at
https://doi.org/10.2139/ssrn.3562570 - Pardal, P., Dias, R., Šuleř, P., Teixeira, N., & Krulický, T. (2020). Integration in Central European Capital Markets in the Context of the Global COVID-19 Pandemic. Equilibrium: Quarterly Journal of Economics and Economic Policy, 15(4), 627–650.
https://doi.org/10.24136/eq.2020.027 - Ramelli, S., & Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19. Swiss Finance Institute Research Paper, No. 20-12. The Review of Corporate Finance Studies, 9(3), 622–655.
https://doi.org/10.2139/ssrn.3550274 - Rogalski, R. J. (1984). New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note. The Journal of Finance, 39(5), 1603–1614.
https://doi.org/10.1111/j.1540-6261.1984.tb04927.x - Roosa, K., Lee, Y., Luo, R., Kirpich, A., Rothenberg, R., Hyman, J. M., Yan, P., & Chowell, G., (2020). Real-Time Forecasts of the COVID-19 Epidemic in China from February 5th to February 24th, 2020. Infectious Disease Modeling, 5, 256–263.
https://doi.org/10.1016/j.idm.2020.02.002 - Sandahl, I. (2019). The Day-of-the-Week Effect in Swedish Stock Returns. [Unpublished master's thesis, Lund University, Department of Economics, School of Economics and Management,
https://lup.lub.lu.se/student-papers/search/publication/8980593 - Theobald, M., & Price, V. (1984). Seasonality Estimation in Thin Markets. Journal of Finance, 39, 377–392.
https://doi.org/10.1111/j.1540-6261.1984.tb02315.x - Vasileiou, E. (2021). Efficient Markets Hypothesis in the Time of COVID-19. Review of Economic Analysis, 13(1), 45–63.
https://doi.org/10.15353/rea.v13i1.1799 - Vera-Valdés, J. E. (2021). The Persistence of Financial Volatility after COVID-19. Finance Research Letters, 102056.
https://doi.org/10.1016/j.frl.2021.102056 - Verbeek, M. (2012). A Guide to Modern Econometrics (4th ed.). Chichester, UK: John Wiley.
- Wang, J., & Wang, X. (2021). COVID-19 and Financial Market Efficiency: Evidence from an Etropy-Based Analysis. Finance Research Letters, 101888.
https://doi.org/10.1016/j.frl.2020.101888 - Wong, K. A., & Yuanto, K. (1999). Short-Term Seasonalities on the Jakarta Stock Exchange. Review of Pacific Basin Financial Markets and Policies, 2(3), 375–398.
https://doi.org/10.1142/S0219091599000205 - Wooldridge, J. M. (2009). Introductory Econometrics: A Modern Approach (4th ed.). Mason, Ohio: South-Western Cengage Learning.
- Yalcin, Y., & Yucel, E. M. (2006). The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets. Finance a Uver-Czech Journal of Economics and Finance, 56(5–6), 258–279.
- Yang, H., & Deng, P. (2021). The Impact of COVID-19 and Government Intervention on Stock Markets of OECD Countries. Asian Economics Letters, 1(4), 18646.
https://doi.org/10.46557/001c.18646 - Zhang, J., Lai, Y., & Lin, J. (2017). The Day-of-the-Week Effects of Stock Markets in Different countries. Finance Research Letters, 20, 47–62.
https://doi.org/10.1016/j.frl.2016.09.006