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
Date Written: 2009
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: Suggested Citation