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Day of the Week Effects : Recent Evidence from Nineteen Stock Markets

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  • Asli Bayar
  • Ozgur Berk Kan

Abstract

This paper provides international evidence for the presence of the day of the week effects in stock market returns denominated in both local currencies and the US dollars in most of the nineteen countries in the sample for the period July 1993 to July 1998. The observed daily patterns differ for local and dollar returns, the latter being exhibiting lower daily means and higher standard deviations. In local currency terms, a pattern of higher returns around the middle of the week, Tuesday and then Wednesday; and a lower pattern towards the end of the week, Thursday and then Friday, are observed. In dollar terms, a higher pattern occurs around the middle of the week, Wednesday and then Tuesday; and a lower one is observed towards the end of the week, Thursday and then Friday. The lower patterns are more apparent in both cases. Volatility is the highest on Mondays in both local and dollar returns. Local returns have the lowest volatility towards the end of the week, Thursday and Friday, whereas the lowest volatility of dollar returns are observed on Tuesdays. The results have useful implications for international portfolio diversification.

Suggested Citation

  • Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.
    • Handle: RePEc:tcb:cebare:v:2:y:2002:i:2:p:77-90
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2002/Volume+2-2/
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    References listed on IDEAS

    as
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    Cited by:

    1. Faryad Hussain & Kashif Hamid & Rana Shahid Imdad Akash & Majid Imdad Khan, 2011. "Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)," Far East Journal of Psychology and Business, Far East Research Centre, vol. 3(3), pages 25-31, April.
    2. 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.
    3. Jakub Keller, 2016. "Day-of-the-week effect among the smallest enterprises listed on WSE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(3), pages 92-102, February.
    4. Cemal Berk Oğuzsoy & Sibel Güven, 2006. "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 1-13, April.
    5. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 407-437, July.
    6. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.

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    More about this item

    Keywords

    Day of the Week Effects; Volatility; International Stock Markets;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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