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Day-of-the-week effect in anomaly returns: International evidence

Author

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  • Chiah, Mardy
  • Zhong, Angel

Abstract

This paper examines the day-of-the-week effect in anomalies (Birru, 2018) in 24 international equity markets. In particular, the returns to the quality-minus-junk (QMJ) factor on different weekdays are studied. The QMJ factor resembles the difference between speculative and non-speculative stocks in Birru (2018). We find that QMJ generates a positive (negative) premium on Monday (Friday). The QMJ premium on Monday is 2.89 times higher than its daily average. Our findings are consistent with the notion that investors are more optimistic (pessimistic) about the future prospect of speculative stocks on Friday (Monday). As such, there is a stronger preference for non-speculative (speculative) stocks on Monday (Friday), leading to the day-of-the-week effect around the world.

Suggested Citation

  • Chiah, Mardy & Zhong, Angel, 2019. "Day-of-the-week effect in anomaly returns: International evidence," Economics Letters, Elsevier, vol. 182(C), pages 90-92.
    • Handle: RePEc:eee:ecolet:v:182:y:2019:i:c:p:90-92
    DOI: 10.1016/j.econlet.2019.05.042
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    Citations

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    Cited by:

    1. Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    2. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
    3. Yuan Li, 2022. "Mood Beta, Sentiment and Stock Returns in China," SAGE Open, , vol. 12(1), pages 21582440221, February.
    4. Ali, Fahad & Ülkü, Numan, 2020. "Weekday seasonality of stock returns: The contrary case of China," Journal of Asian Economics, Elsevier, vol. 68(C).
    5. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    6. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    7. Chiah, Mardy & Zhong, Angel, 2021. "Tuesday Blues and the day-of-the-week effect in stock returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    8. Aleksandra Rutkowska & Agata Kliber, 2021. "Say anything you want about me if you spell my name right: the effect of Internet searches on financial market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 633-664, June.
    9. Ivan S. Blahun & Lesia Dmytryshyn & Ivan I. Blahun & Semen Blahun, 2022. "Stock Indices as Indicators of Market Efficiency and Interaction," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 87-106.
    10. Lucy F. Ackert & George Athanassakos, 2021. "Gamesmanship and Seasonality in U.S. Stock Returns," JRFM, MDPI, vol. 14(5), pages 1-11, May.
    11. Gaurav KUMAR & Prof. Bhartendu SINGH, 2024. "Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(638), S), pages 29-42, Spring.

    More about this item

    Keywords

    International evidence; Seasonality; Stock returns; Investor sentiment;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • F30 - International Economics - - International Finance - - - General

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