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Day‐of‐the‐Week Effect in High Moments

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  • Dan Galai
  • Haim Kedar‐Levy

Abstract

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.

Suggested Citation

  • Dan Galai & Haim Kedar‐Levy, 2005. "Day‐of‐the‐Week Effect in High Moments," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 14(3), pages 169-186, August.
    • Handle: RePEc:wly:finmar:v:14:y:2005:i:3:p:169-186
    DOI: 10.1111/j.0963-8008.2005.00083.x
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    References listed on IDEAS

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