Day-of-the-week effects in financial contagion
Bartosz Gebka () and
Finance Research Letters, 2019, vol. 28, issue C, 221-226
We propose a new approach to test for financial contagion, which accounts for the existence of day-of-the-week effects in stock returns. For a set of European markets, we provide evidence that contagion effects from the U.S. during the 2007-9 financial crisis varied across days of the week.
Keywords: Financial contagion; Day-of-the-week effect; Financial crisis (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226
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