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Day-of-the-Week Effect in High Moments
SSRN Electronic Journal, 2005Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week.
Dan Galai, Haim Kedar-Levy
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Day Of The Week Effect dan Implikasinya terhadap Investor
Jurnal Manajemen dan Bisnis, 2023This study aims to find out whether there is a Day of the week effect on stock trading, and what are the implications of the day-of-the-week effect for investors in Jayapura City. The sample for this research is a company that is included in IDX80 for the period February 2021-January 2022.
Hesti Murwaniputri +2 more
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Day of the Week Effects and Asset Returns
The Journal of Business, 1981The number of empirical studies using daily stock returns is rapidly increasing.' Researchers generally assume that the distribution of stock returns is identical for all days of the week-a convenient statistical assumption but not a necessary condition of market equilibrium.
Gibbons, Michael R, Hess, Patrick
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Day of the week effects and commodity price changes
Journal of Futures Markets, 1988link_to_subscribed_fulltext
Kim, CW, Chang, EC
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Day-of-the-week effects in emerging stock markets [PDF]
Applied Economics Letters, 2006 This study uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after ...
Syed A. Basher, Perry Sadorsky
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Day of the Week Effect on Gold Returns
SSRN Electronic Journal, 2013Day of the week effect has vastly been investigated for stock markets, but commodity markets have got less attention in this regard. Present study is an attempt to investigate the day of the week effect on gold futures return. For the purpose of study, opening and closing prices of gold futures contract, traded on India’s largest commodity exchange i.e.
Sunita Arora, Narender Kumar
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The day of the week effect in Eurozone
2021Η μελέτη των ανωμαλιών των αγορών (Stock Markets Anomalies) παρουσιάζουν μεγάλο ερευνητικό ενδιαφέρον και έχουν απασχολήσει πολλούς ερευνητές παγκοσμίως. Η ύπαρξη ανωμαλιών που αντιβαίνουν στην θεωρία των αποτελεσματικών αγορών (Efficient Markets Hypothesis) αποτελούν ελκυστικό πεδίο έρευνας καθώς η ανίχνευση τους αφήνει περιθώρια για τη χάραξη ...
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Day-of-the-week Effect: Further Empirical Evidence
Asia Pacific Business Review, 2008The study investigates the presence of day-of-the-week effect in twenty financial markets in the world. A set of parametric and non-parametric tests is used to test equality of mean returns of the returns across the-days-of-the-week. The results reveal that out of twenty markets, 18 (90 percent) reported their significant highest positive return on ...
Kapil Choudhary, Sakshi Choudhary
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Bitcoin and the day-of-the-week effect
Finance Research Letters, 2019Abstract The day-of-the-week effect is a well-known phenomenon in financial markets, detected in the price of equities, bonds, currencies and commodities. In this study, we extend the exploration of this anomaly to Bitcoin. Using OLS and GARCH models with daily data for 2010–2017, we provide initial evidence about the existence of the day-of-the-week
David Yechiam Aharon, Mahmoud Qadan
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2014
The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).
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The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).
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