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Day-of-the-Week Effect Revisited: International Evidence

22 Pages Posted: 28 Apr 2009 Last revised: 2 Oct 2014

Mehmet F. Dicle

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business

John Levendis

Loyola University New Orleans

Date Written: March 1, 2010

Abstract

The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.

Keywords: day-of-the-week effect, market efficiency, market anomaly

JEL Classification: G14, G15

Suggested Citation

Dicle, Mehmet F. and Levendis, John, Day-of-the-Week Effect Revisited: International Evidence (March 1, 2010). Journal of Economics and Finance, July 2014, Volume 38, Issue 3, pp 407-437. Available at SSRN: https://ssrn.com/abstract=1395005

Mehmet Dicle (Contact Author)

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business ( email )

6363 St. Charles Avenue
New Orleans, LA 70118
United States

HOME PAGE: http://researchforprofit.com

John Levendis

Loyola University New Orleans ( email )

6363 St. Charles Ave., box 15
New Orleans, LA 70118
United States

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