Skip to main content
Article thumbnail
Location of Repository

Day of the Week Effects : Recent Evidence from Nineteen Stock Markets

By Asli Bayar and Ozgur Berk Kan

Abstract

This paper provides international evidence for the presence of the day of the week effects in stock market returns denominated in both local currencies and the US dollars in most of the nineteen countries in the sample for the period July 1993 to July 1998. The observed daily patterns differ for local and dollar returns, the latter being exhibiting lower daily means and higher standard deviations. In local currency terms, a pattern of higher returns around the middle of the week, Tuesday and then Wednesday; and a lower pattern towards the end of the week, Thursday and then Friday, are observed. In dollar terms, a higher pattern occurs around the middle of the week, Wednesday and then Tuesday; and a lower one is observed towards the end of the week, Thursday and then Friday. The lower patterns are more apparent in both cases. Volatility is the highest on Mondays in both local and dollar returns. Local returns have the lowest volatility towards the end of the week, Thursday and Friday, whereas the lowest volatility of dollar returns are observed on Tuesdays. The results have useful implications for international portfolio diversification.Day of the Week Effects, Volatility, International Stock Markets

OAI identifier:

Suggested articles

Citations

  1. (1989). Seasonal and day of the week effects in four emerging stock markets,
  2. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries,
  3. (1999). Borsada Takas Kuralları ve Zamana Bağlı Risk ve Getiri İlişkisi: Türkiye Örneği, İktisat, İşletme ve Finans,
  4. (1996). Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation, Research Paper in Banking and Finance, 96/1, Institute of European Finance,
  5. (1995). Day of the week effects: new evidence from an emerging stock market,
  6. (1990). The Italian stock market-efficiency and calendar anomalies,
  7. (1989). An examination of the robustness of the weekend effect,
  8. (1996). The day of the week effect: the international evidence,
  9. (1965). The behavior of stock market prices,
  10. (1980). Stock returns and the weekend effect,
  11. (1981). Day of the week effects and asset returns,
  12. (1985). Patterns in Japanese common stock returns: day of the week and turn of the year effects,
  13. (1985). The weekend effect in common stock returns: the international evidence,
  14. (1984). A further investigation of the weekend effect in stock returns,
  15. (1984). A further investigation of the weekend effect in stock returns: discussion,
  16. (1986). Day of the week and intraday effects in stock returns,
  17. (1974). Why not diversify internationally rather than domestically,
  18. (1990). Day of the week effect on Paris Bourse,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.