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Day-of-the-week effects in emerging stock markets

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  • Syed Basher
  • Perry Sadorsky

Abstract

This study uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. The results in this study show that while the day-of-the-week effect is not present in the majority of emerging stock markets studied, some emerging stock markets do exhibit strong day-of-the-week effects even after accounting for conditional market risk.

Suggested Citation

  • Syed Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 13(10), pages 621-628.
    • Handle: RePEc:taf:apeclt:v:13:y:2006:i:10:p:621-628
    DOI: 10.1080/13504850600825238
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