Day-of-The-Week Effect in High Moments

26 Pages Posted: 29 Mar 2005

See all articles by Dan Galai

Dan Galai

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Haim Kedar-Levy

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management

Multiple version iconThere are 2 versions of this paper

Date Written: March 2005

Abstract

Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.

Keywords: Day of the week, high moments, corporate announcements

JEL Classification: C14, C31, G14

Suggested Citation

Galai, Dan and Kedar-Levy, Haim, Day-of-The-Week Effect in High Moments (March 2005). Available at SSRN: https://ssrn.com/abstract=678741 or http://dx.doi.org/10.2139/ssrn.678741

Dan Galai

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel
972 2 5883235 (Phone)
972 2 5881341 (Fax)

Haim Kedar-Levy (Contact Author)

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management ( email )

P.O. Box 653
Beer-Sheva 84105
Israel
(972) 8 6472569 (Phone)
(972) 8 6477697 (Fax)

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