Day-Of-The-Week Effects in Different Stock Markets: New Evidence on Model-Dependency in Testing Seasonalities in Stock Returns

Abstract

This paper investigates the day-of-the-week effects in the stock indexes of both developed and emerging markets as well as the MSCI world index from March 2002?May 2008 using regression models. The results show many daily effects, occurring from Monday to Friday, which are different from the weekend effect. No consistent daily effects were found for either returns or volatility in any market by any of the tested models, and the presence of effects seems to be model-dependent. Surprisingly, the MSCI world index exhibits a strong positive return on Monday and Wednesday. The leverage effect on the arrival of new information is reliably found in three developed markets and the MSCI world index.Anomalies, day-of-the-week effect, OLS, GARCH, Modified GARCH, GARCH-M, TGARCH, EGARCH