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AN EMPIRICAL ANALYSIS OF THE TRENDS OF THE EUROPEAN FINANCIAL MARKETS IN THE LAST DECADE

Name of Author[1]

Affiliation

Address

Telephone/Fax

E-mail

 

ABSTRACT

Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness.

JEL Codes: G14, G15

  1. INTRODUCTION

  2. LITERATURE REVIEW

  3. DATA AND METHODOLOGY

  4. EMPIRICAL RESULTS

  1.  Daily Returns Analysis

Table 5

Summary of Maximum/Minimum Returns/Standard Deviations of the NAFM for the Period January 2nd 1997- December 31st, 2004.

Name of

Country/Index

Maximum

 return/Std. Dev.

Day of

Occurrence

Minimum

Return/

Std. Dev.

Day  of Occurrence

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  1. The day-of-the-week effect

  2. Annual Returns Analysis

  3. Homoskedasticity

  1. CONCLUSION

REFERENCES

  1. Aggarwal, R & Rivoli, P. (1989) Seasonal day-of-the week effects in four emerging stock markets, The Financial Review, 24, 541-50

  2. Cross, F.  (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst Journal, 29, pp. 67-69.

  3. Snedecor, G. W. and Cochran, W.G. (1976) Statistical Methods. Ames: Iowa State University Press

           

APPENDIX

 

  

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