The Day of the Week Effect on Stock Market Volatility

Journal of Economics and Finance, Vol.25, No.2 , pp. 181-193

Posted: 31 Jul 2018

See all articles by Hakan Berument

Hakan Berument

Bilkent University - Department of Economics

Halil Kiymaz

Rollins College

Date Written: 2001

Abstract

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.

JEL Classification: G10, G12, C22

Suggested Citation

Berument, Hakan and Kiymaz, Halil, The Day of the Week Effect on Stock Market Volatility (2001). Journal of Economics and Finance, Vol.25, No.2 , pp. 181-193, Available at SSRN: https://ssrn.com/abstract=3211399

Hakan Berument (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Halil Kiymaz

Rollins College ( email )

Winter Park, FL 32789
United States

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