Day-of-The-Week Effect in High Moments

18 Pages Posted: 9 Aug 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

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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.

Suggested Citation

Galai, Dan and Kedar-Levy, Haim, Day-of-The-Week Effect in High Moments. Financial Markets, Institutions & Instruments, Vol. 14, No. 3, pp. 169-186, August 2005. Available at SSRN: https://ssrn.com/abstract=773005

Dan Galai (Contact Author)

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

Mount Scopus
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Haim Kedar-Levy

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

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Beer-Sheva 84105
Israel
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(972) 8 6477697 (Fax)

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