Day Of The Week Effect

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Seasonalities In Stock Markets

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Author : George Drogalas
language : en
Publisher:
Release Date : 2014

Seasonalities In Stock Markets written by George Drogalas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.

The Day Of The Week Effect

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Author : Marc Häfliger
language : en
Publisher:
Release Date : 2012

The Day Of The Week Effect written by Marc Häfliger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.

Day Of The Week Effect In High Moments

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Author : Dan Galai
language : en
Publisher:
Release Date : 2005

Day Of The Week Effect In High Moments written by Dan Galai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Evidence 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. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.

The Evolution And Cross Section Of The Day Of The Week Effect

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Author : Shlomo Zilca
language : en
Publisher:
Release Date : 2017

The Evolution And Cross Section Of The Day Of The Week Effect written by Shlomo Zilca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

We study the day of the week effect across size deciles and in three 18-year subperiods. The results show a decline in the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of the effect is larger in the larger market capitalization deciles. We also find substantial evidence that the day-of-the-week effect is characterized by a pattern of monotonically improving returns during the week, but the pattern is interrupted as market capitalization increases. The behavioral explanation for the day of the week effect, based on monotonically improving mood throughout the week, is therefore a stronger candidate in smaller market capitalization deciles.

The Day Of The Week Effect On Stock Market Volatility And Volume

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Author : Hakan Berument
language : en
Publisher:
Release Date : 2018

The Day Of The Week Effect On Stock Market Volatility And Volume written by Hakan Berument and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.

The Day Of The Week Effect On Stock Market Volatility

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Author : Hakan Berument
language : en
Publisher:
Release Date : 2018

The Day Of The Week Effect On Stock Market Volatility written by Hakan Berument and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.

Can Day Of The Week Effect Be Explained By Interbank Rates

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Author : Ekrem Tufan
language : en
Publisher:
Release Date : 2005

Can Day Of The Week Effect Be Explained By Interbank Rates written by Ekrem Tufan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper reports the results of various tests of the day of the week effects using daily observations on the National 30 Index for Turkish stock exchange and interbank rates for the period January 3, 1997 and July 23, 2001. It is also searched whether day of the week effects be explained by interbank rates or not. While significant evidence of day of the week effects is reported and tried to explain it's reasons in literature, there is no significant explanation about it. The paper reports a significant day of the week effects for both market and investors can beat the markets and earn excess returns by using an active trading strategy than a simple buy and hold strategy. It's also could be said day of the week effect can be explained by interbank rates for an emerging market, namely Turkey.

Day Of The Week Effect Revisited

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Author : Mehmet F. Dicle
language : en
Publisher:
Release Date : 2014

Day Of The Week Effect Revisited written by Mehmet F. Dicle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.

Clarification Of Misconception On The Day Of The Week Effect

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Author : Dimitrios Tryfonidis
language : en
Publisher:
Release Date : 2007

Clarification Of Misconception On The Day Of The Week Effect written by Dimitrios Tryfonidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

We examine the well studied Day of the Week effect (DWE), which is for many authors the effect that the day of the week has on the daily differences of the general index (GI). We try to clarify differences between the DWE and the impact that the day has on the GI. We also examine the impact that the lunar phases have on daily returns of the GI. We use a large period of data 1986-2006 from the Athens Stock Exchange where we apply general linear models for the purposes of our analysis. We found from our analysis that the day is statistically significant (a-level=0.05) on the daily returns of the GI. Moreover we found that the lunar phases are statistically significant (a-level=0.05) for the daily returns of the general index as well as the interaction of the lunar phases with the day of the week.

Day Of The Week Effect In The Central And Eastern European Transition Stock Markets And Higher Moments Of Security Returns

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Author : Katerina Lyroudi
language : en
Publisher:
Release Date : 2008

Day Of The Week Effect In The Central And Eastern European Transition Stock Markets And Higher Moments Of Security Returns written by Katerina Lyroudi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Our study examines the presence of the day-of-the-week effect anomaly in the Central and Eastern European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovakian, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results indicated that the Czech and Romanian markets have significant negative returns on Monday, while the Slovenian market has significant positive returns on Wednesday and has non-significant negative returns on Fridays. The Polish and Slovakian markets have no day-of-the week effect anomaly. We applied the GARCH -M (1,1) model to test whether the day-of-the-week effect is influenced by the stock market risk.