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
Date Written: January 2017
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: Suggested Citation