The disappearing day-of-the-week effect in the world's largest equity markets

Gerald Kohers · Ninon Kohers · Vivek K. Pandey · Theodor Kohers

107 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

The well-documented day-of-the-week effect has shown that stock returns on some days of the week are often significantly higher than on other days. To investigate whether improvements in market efficiency may have caused this anomaly to disappear over time, this study examines the day-of-the-week effect in the world's largest developed equity markets over the last 22 years. The results indicate that, during the 1980s, this anomaly was clearly evident in the vast majority of developed markets, but it appears to have faded away in the 1990s. The implications of these findings are that long-run improvements in market efficiency may have diminished the effects of certain anomalies in recent periods.

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References

1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1985The Week-End Effect in Common Stock Returns: The International Evidence 1994Anomalies or illusions? Evidence from stock markets in eighteen countries 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note 1986Day-of-the-week and intraday effects in stock returns 2001The day of the week effect on stock market volatility

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