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A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect [PDF]
Entropy, 2022 Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics.
Darko Stosic +4 more
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Day-of-the-week effect: Petroleum and petroleum products
Cogent Economics & Finance, 2023 This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect.
Andrew C. Meek, Seth A. Hoelscher
doaj +3 more sources
Stock Market Return and Volatility: Day-of-the-week Effect [PDF]
Journal of Economics and Finance, 2012 Cataloged from PDF version of article.This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006.
Berument, H., Dogan, N.
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PENGUJIAN ANOMALI PASAR : DAY OF THE WEEK EFFECT PADA SAHAM LQ-45 DI BURSA EFEK INDONESIA [PDF]
E-Jurnal Manajemen, 2016 One of market anomaly that againsts the concept of efficient market is Day of The Week Effect, which is an anomaly where there are differences between stock returns on trading day. The purpose of this study is to determine the existence of the anomaly on
Margareta Maria Trisnadi +1 more
doaj +3 more sources
The day of the week effect and interest rates
Borsa Istanbul Review, 2020 The day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns.
Savas Gayaker +2 more
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Day of the week effect and Baltic stock exchanges
Przedsiębiorczość Międzynarodowa, 2018 Objective: There is an ongoing debate in the field of finance and economics on the existence of abnormal equity returns associated with calendar events.
Arvydas Jadevicius
doaj +4 more sources
The Day of the Week Effect in the Pakistani Equity Market: An Investigation [PDF]
Lahore Journal of EconomicsAn active area of investigation in finance literature is to explore the existence of a pattern in stock returns. A predictable pattern is evidence against market efficiency.
Fazal Husain
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The Day-of-the-Week Effect: Evidence from Selected Balkan Markets
Scientific Annals of Economics and Business, 2018 The main aim of this paper is to investigate the existence of the “day of the week” financial effect in select Balkans stock markets indices. Many findings of market anomalies have corroborated the presence of the “day of the week” effect in developed ...
Karanovic Goran, Karanovic Bisera
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The Day-of-the-Week Effect Revisited: An Alternative Testing Approach [PDF]
, 2002 This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in ...
Alt, Raimund +2 more
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Day-of-the-week effects in Selected East Asian stock markets [PDF]
Economics Bulletin, 2007 This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday and positive Friday effects are detected in the stock ...
Ricky Chee-Jiun Chia +2 more
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