Common and local asymmetry and day-of-the-week effects among EU equity markets

Abstract

In line with the integration of financial markets it is expected that anomalies and other characteristics of equity markets become more similar. This paper specifically examines how much of the asymmetry and the day-of-the-week effect is common to the European markets and how much is country specific. The day-of-the-week effects are measured for both unconditional and conditional expected returns and volatilities. Robustness of the results is analysed using two sub-periods. The conditional model accounts for asymmetry in first-order autocorrelation of both the common European market index and the country-specific indexes. The time period spans from January 2000 through December 2006. The results indicate that the asymmetry, especially in volatility, is a common characteristic carried by the European market index, whereas the conditional day-of-the-week effects are local, robust and country specific.Day-of-the-week effect, Asymmetry, European equity markets,