Is There a Friday Effect in Financial Markets?

Brunel University London, Department of Economics and Finance Working Paper Series No. 17-04

23 Pages Posted: 6 Feb 2017

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Oleksiy Plastun

Sumy State University

Date Written: January 2017

Abstract

This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits.

Keywords: Calendar Anomalies, Day-of-the-Week Effect, Stock Market, Efficient Market Hypothesis

JEL Classification: G12, C63

Suggested Citation

Caporale, Guglielmo Maria and Plastun, Oleksiy, Is There a Friday Effect in Financial Markets? (January 2017). Brunel University London, Department of Economics and Finance Working Paper Series No. 17-04, Available at SSRN: https://ssrn.com/abstract=2912112 or http://dx.doi.org/10.2139/ssrn.2912112

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

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