The Wandering Weekday Effect in Major Stock Markets

Journal of Banking & Finance, Vol. 33, pp. 1388–1399, 2009

Posted: 16 May 2010 Last revised: 12 Jul 2010

See all articles by John R. Doyle

John R. Doyle

Cardiff University - Cardiff Business School

Catherine Huirong Chen

Middlesex University Business School

Date Written: 2009

Abstract

This paper reports a wandering weekday effect: the pattern of day seasonality in stock market returns is not fixed, as assumed in the Monday or weekend effects, but changes over time. Analysing daily closing prices in eleven major stock markets during 1993–2007, our results show that the wandering weekday is not conditional on average returns in the previous week (the "twist" in the Monday effect). Nor does it diminish through the period of analysis. The results have important implications for market efficiency, and help to reconcile mixed findings in previous studies, including the reported disappearance of the weekday effect in recent years.

Keywords: weekday effect, Monday effect, EMH, efficient markets, seasonality, GARCH

JEL Classification: G14, G15

Suggested Citation

Doyle, John and Chen, Catherine Huirong, The Wandering Weekday Effect in Major Stock Markets (2009). Journal of Banking & Finance, Vol. 33, pp. 1388–1399, 2009. Available at SSRN: https://ssrn.com/abstract=1606382

John Doyle (Contact Author)

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

HOME PAGE: http://www.cardiff.ac.uk/carbs/faculty/doylejr/index.html

Catherine Huirong Chen

Middlesex University Business School ( email )

The Burroughs
London, NW4 4BT
United Kingdom

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