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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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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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The day of the week effect: evidence from India
Afro-Asian Journal of Finance and Accounting, 2015Tariq Aziz
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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 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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Day-of-the-week effect on the Paris Bourse
Journal of Banking & Finance, 1990Abstract We present evidence on the day-of-the-week effect on a stock market with a particular settlement procedure: the Paris Bourse. A strong and persistent negative return is found on Tuesdays. A similar result was previously found for Japan and Australia.
Solnik, Bruno H., Bousquet, L.
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Investor Psychology and the Day-of-the-Week Effect
Financial Analysts Journal, 1989(1989). Investor Psychology and the Day-of-the-Week Effect. Financial Analysts Journal: Vol. 45, No. 5, pp. 75-78.
David S. Rystrom, Earl D. Benson
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The day-of-the-week effect: The international evidence
Journal of Banking & Finance, 1996Abstract We re-examine the day-of-the-week effect for eleven indexes from nine countries during the 1969–1992 period. The standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week (but not necessarily on Monday) for the full period. As in Chang et al.
M. Dubois, P. Louvet
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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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The day-of-the-week effect in conditional correlation
Review of Quantitative Finance and Accounting, 2006The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity ...
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