Skip to main content
Have a personal or library account? Click to login
Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market Cover

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

South East European Journal of Economics and Business
Volume 6 (2011): Issue 2 (November 2011)
By:  and    
Open Access
|Jan 2012
References

References

  1. Abraham, A. and Ikenberry, D. L. (1994) The Individual Investor and the Weekend Effect., 29(2): pp. 263-277.
    Open DOISearch in Google Scholar
  2. Agrawal, A. and Tandon, K. (1994) Anomalies or Illusions? Evidence from stock markets in eighteen countries., 13: p. 83-106.
    Open DOISearch in Google Scholar
  3. Ajayi, R. A., Mehdian, S., and Perry, M.J (2004) The Day-of-the Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets., Vol.40, No.4: pp53-62
    Open DOISearch in Google Scholar
  4. Akdogan, H. (1996) A suggested approach to country selection in international portfolio diversification., Fall: pp.33-40.
    Open DOISearch in Google Scholar
  5. Alexakis, P., and Xanthakis, M, (1995) Day of the Week Effect on the Greek Stock Exchange., 5: pp.43-50
    Open DOISearch in Google Scholar
  6. Arshanapalli, B. and J. Doukas, (1993) International Stock Market Linkages: Evidence from the Pre- and Post- October 1987 Period., 17: pp.193-208.
    Open DOISearch in Google Scholar
  7. Ayuso, J. and Blanco, R. (2001) Has financial market integration increased during the nineties?, 11:265-287.
    Open DOISearch in Google Scholar
  8. Barone, E. (1990) The Italian Stock Market: Efficiency and Calendar Anomalies., Vol.14, No.2-3: pp.483-510
    Open DOISearch in Google Scholar
  9. Basher, S. A., and Sadorsky, P. (2006) Day-of-the week effects in Emerging Stock Markets., 13: pp621-628
    Open DOISearch in Google Scholar
  10. Bekaert, G., Harvey, C. R. and Lundblad, C. T. (2001) Emerging equity markets and economic development., 66, 465-504.
    Open DOISearch in Google Scholar
  11. Bekaert, G., Harvey, C. R. and Lundblad, C. T. (2005) Does financial liberalization spur economic growth?, 77: pp.3-55.
    Search in Google Scholar
  12. Bekaert, G., & Harvey, C. R. (1995) Time-Varying World Market Integration.(2), 403-444.
    Open DOISearch in Google Scholar
  13. Berument, H. and Kiymaz, H (2001) The Day of the Week Effect on Stock Market Volatility., 25(2): p. 181-193.
    Open DOISearch in Google Scholar
  14. Bildik, R. (1999) Day-of-the week effects in Turkish money and stock markets.(1999).
    Search in Google Scholar
  15. Brahmana, R., and Hooy, Chee-Wooi. (2010). Bilateral Trading and Regionalism Market Integration. 2nd International Conference on Managemen, Hospitality and Tourism, and Accounting, 12-13 November, 2010, Jakarta, Indonesia
    Search in Google Scholar
  16. Bussière, M., Fidrmuc, J., & Schnatz, B. (2005) Trade integration of Central and Eastern European countries - lessons from a gravity model. [Working Paper].
    Open DOISearch in Google Scholar
  17. Carrieri, F., Errunza, V. R. and Hogan, K. (2007) Characterizing world market integration through time., 42(2): pp.915-940.
    Open DOISearch in Google Scholar
  18. Chandra, M., (2006) The day-of-the-week effect in conditional correlation., 27: p. 297-310.
    Open DOISearch in Google Scholar
  19. Choudhry, T. (2000) Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model., 10:pp.235-242.
    Open DOISearch in Google Scholar
  20. Click, R. W., and Plummer, M. G. (2004). Stock Market Integration in ASEAN after the Asian Financial Crisis., Vol.16, No.1: pp5-28.
    Search in Google Scholar
  21. Cole, H. and Obstfeld, M. (1992) Commodity trade and international risk sharing: How much do financial markets matter?, 28, 3-24.
    Open DOISearch in Google Scholar
  22. Connolly, R. A. (1989) An Examination of the Robustness of the Weekend Effect., 24(2): p. 133-169.
    Open DOISearch in Google Scholar
  23. Cross, F., (1973) The Behavior of Stock Prices on Fridays and Mondays.29: pp.67-69.
    Open DOISearch in Google Scholar
  24. Damodaran, A. (1989) The Weekend Effect in Information Releases: a Study of Earnings and Dividend Announcement., Vol.2, No.4: pp.607-623
    Open DOISearch in Google Scholar
  25. Damodar N. Gujarati and Dawn C Porter. (2009) Basic Econometric. Fifth Edition. McGraw Hill
    Search in Google Scholar
  26. Devereux, M. B. and Smith, G. W. (1994) International risk sharing and economic growth., 35, 535-551.
    Open DOISearch in Google Scholar
  27. Dumas, B., & Solnik, B. (1995) The World Price of Foreign Exchange Risk.(2), 445-479.
    Open DOISearch in Google Scholar
  28. Ferson, W. E. and Harvey, C. R. (1994) Sources of risk and expected returns in global equity markets., 18: pp.775-803.
    Open DOISearch in Google Scholar
  29. French, K. R., (1980) Stock Returns and The Weekend Effect., 8: pp.55-69.
    Open DOISearch in Google Scholar
  30. Fredriksson, P. G., and Mani, M. (2004) Trade Integration and Political Turbulence: Environmental Policy Consequences.(2), 1.
    Open DOISearch in Google Scholar
  31. Gérard, B., Thanyalakpark, K. and Batten, J. A. (2003) Are the East Asian market integrated? Evidence from the ICAPM., 55: pp.585-607.
    Open DOISearch in Google Scholar
  32. Gibbons, M. R. and Hess, P. (1981) Day of the Week Effects and Asset Returns., 54(4): p. 579-596.
    Open DOISearch in Google Scholar
  33. Grubel, H. (1968) International Diversified Portfolio: Welfare Gains and Capital Flows., 58: pp.1299-1314.
    Search in Google Scholar
  34. Hardouvelis, G. A., Malliaropulos, D., and Priestley, R. (2006) EMU and European Stock Market Integration.(1): pp.365-392.
    Open DOISearch in Google Scholar
  35. Hardouvelis, G. A., Priestley, R., & Malliaropulos, D. (2001) EMU and European Stock Market Integration.
    Open DOISearch in Google Scholar
  36. Ho, Y. K., and Cheung, Y. L. (1994) Seasonal Pattern in Volatility in Asian Stock Markets., 4: pp.61-67
    Search in Google Scholar
  37. Hooy, C-W., and Goh, K-L. (2007) The Determinants of Stock Market Integration: A Panel Data Investigation. 15Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management Proceeding. 20&21 July, Ho Chi Minh City, Vietnam.
    Search in Google Scholar
  38. Jaffe, J. and R. Westerfield, (1985) The Week-End Effect in Common Stock Returns: The International Evidence., 40(2): pp.433-454.
    Open DOISearch in Google Scholar
  39. Johansen, S. (1988) Statistical Analysis of Cointegration Vectors., 12: pp.231-254.
    Open DOISearch in Google Scholar
  40. Kamara, A., (1997) New Evidence on the Monday Seasonal in Stock Returns., 70(1): pp. 63-84.
    Open DOISearch in Google Scholar
  41. Korajczyk, R. A. (1996) A Measure of Stock Market Integration for Developed and Emerging Markets.(2), 267-289.
    Open DOISearch in Google Scholar
  42. Lakonishok, J. and Maberly, E. (1990) The Weekend Effect: Trading Patterns of Individual and Institutional Investors., 45(1): p. 231-243.
    Open DOISearch in Google Scholar
  43. Lakonishok, J. and Smidt, S. (1988) Are Seasonal Anomalies Real? A Ninety-Year Perspective., 1(4): p. 403-425.
    Open DOISearch in Google Scholar
  44. Levine, R. and Zervos, S. (1996) Stock market development and long-run growth., 10, 323-340.
    Open DOISearch in Google Scholar
  45. Levine, R. and Zervos, S. (1998) Stock markets, banks, and economic growth., 88, 537-558.
    Search in Google Scholar
  46. Levine, R., & Zervos, S. (1998) Capital control liberalization and stock market development.(7): pp.1169-1183.
    Open DOISearch in Google Scholar
  47. Levine, R., and Zervos, S. (1996) Stock Market Development and Long Run Growth., Vol.10, No.2: pp323-339
    Open DOISearch in Google Scholar
  48. Lewis, K. K. (1996) What can explain the apparent lack of international consumption risk-sharing?, 104, 267-297.
    Open DOISearch in Google Scholar
  49. Lucey, B. (2000). Anomalous Daily Seasonality in Ireland?, 7(10): pp.637-40
    Search in Google Scholar
  50. Meric, I., and Meric, G. (1997). Co-movements of European equity markets before and after the 1987 crash., 1: pp.137-152.
    Search in Google Scholar
  51. Ng, D. T. (2004) The international CAPM when expected returns are time-varying., 23: pp.189-230.
    Open DOISearch in Google Scholar
  52. Ng, T. H. (2002) Stock Market Linkages in South-East Asia. Asian Economic Journal, Vol.16, No.4:
    Open DOISearch in Google Scholar
  53. Obstfeld, M. (1994) Risk taking, global diversification and growth., 84, 1310-1329.
    Search in Google Scholar
  54. Ostermark, R. (1989) Predictability of Finnish and Swedish Stock Returns., Vol.17, No. 3: pp.223-236
    Open DOISearch in Google Scholar
  55. Özmen, T. (1997). Dünya Borsalarinda Gözlemlenen Anomaliler ve IMKB Üzerine Bir Deneme,
    Search in Google Scholar
  56. Porter, D. C. (1992) The probability of trade at the ask: An Examination of Interday and Intraday Behaviour., Vol. 27: pp. 209-227.
    Open DOISearch in Google Scholar
  57. Rahman, M. L., (2009) Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange., 4(5): p. 193-206.
    Open DOISearch in Google Scholar
  58. Rogalski, R. J., (1984) New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note., 39(5): p. 1603-1614.
    Open DOISearch in Google Scholar
  59. Sakalauskas, V., and Krikščiūnienė, Dalia. (2007) The Impact of Daily Trade Volume on the Day-of-the Week Effect in Emerging Markets., Vol.36, No.1A
    Search in Google Scholar
  60. Solnik, B. H. (1974) Why not Diversify Internationally., 30: pp.48-54.
    Open DOISearch in Google Scholar
  61. Solnik, B., and Bousquet, L. (1990) Day of the Week Effect of the Paris Bourse., Vol.14, No.2-3: pp.461-468
    Open DOISearch in Google Scholar
  62. Stehle, R. (1977) An empirical test of the alternative hypotheses of national and international pricing of risky assets., 32, 493-502.
    Open DOISearch in Google Scholar
  63. Tong, W. (2000) International Evidence on Weekend Anomalies., Vol.23, No.4: pp. 495-522.
    Open DOISearch in Google Scholar
  64. Van Wincoop, E. (1994) Welfare gains from international risk sharing., 34, 175-200.
    Open DOISearch in Google Scholar
  65. Yahyazadehfar, M., Abounoori, E., and Shababi, H. (2006) Teheran Stock Exchange Returns: an Emprical Analysis., Vol.11, No.16
    Search in Google Scholar
DOI: https://doi.org/10.2478/v10033-011-0012-0 | Journal eISSN: 2233-1999 | Journal ISSN: 1840-118X
Journal RSS Feed
Language: English
Page range: 13 - 21
Published on: Jan 27, 2012
Published by: University of Sarajevo
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year
Keywords:
Market Integration,
Weekend Anomaly,
Portfolio Benefit,
Lithuanian Stock Market
Related subjects:
Business and economics,
Business management,
Business management, other

© 2012 Rayenda Brahmana, Muath Asmar, published by University of Sarajevo
This work is licensed under the Creative Commons License.

Volume 6 (2011): Issue 2 (November 2011)
Previous article
Next article