Day-of-the-week Effect: Further Empirical Evidence

Abstract

The study investigates the presence of day-of-the-week effect in twenty financial markets in the world. A set of parametric and non-parametric tests is used to test equality of mean returns of the returns across the-days-of-the-week. The results reveal that out of twenty markets, 18 (90 percent) reported their significant highest positive return on the day other than Monday which is consistent with results reported by previous studies on this phenomenon. In terms of variability of daily returns across the world market, the results indicates that 75 percent markets experience highest variability in the returns on Monday. Further the study exhibited significant differences in average returns across the days of week for seven markets viz. Greece, Finland, Venezuela, Peru, USA, Japan and India out of twenty markets under consideration during their respective study periods.