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The day-of-the-week effect in conditional correlation

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  • Mahendra Chandra

Abstract

The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. Copyright Springer Science + Business Media, LLC 2006

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  • Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
    • Handle: RePEc:kap:rqfnac:v:27:y:2006:i:3:p:297-310
    DOI: 10.1007/s11156-006-9433-8
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    Cited by:

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    2. Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011. "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 59, pages 177-190, August.
    3. Büttner, David & Hayo, Bernd, 2010. "News and correlations of CEEC-3 financial markets," Economic Modelling, Elsevier, vol. 27(5), pages 915-922, September.
    4. Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
    5. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    6. Leonard Grebe & Dirk Schiereck, 2024. "Day-of-the-week effect: a meta-analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 1057-1094, December.

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