Browsing International Finance by Subject "Conditional volatility"
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Turn-of-the-month effect: New evidence from an emerging stock market
(Elsevier, 2016-08)This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, ...
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