The wandering weekday effect in major stock markets

Doyle, John R. and Chen, Catherine Huirong 2009. The wandering weekday effect in major stock markets. Journal of Banking & Finance 33 (8) , pp. 1388-1399. 10.1016/j.jbankfin.2009.02.002

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Abstract

This paper reports a wandering weekday effect: the pattern of day seasonality in stock market returns is not fixed, as assumed in the Monday or weekend effects, but changes over time. Analysing daily closing prices in eleven major stock markets during 1993–2007, our results show that the wandering weekday is not conditional on average returns in the previous week (the “twist” in the Monday effect). Nor does it diminish through the period of analysis. The results have important implications for market efficiency, and help to reconcile mixed findings in previous studies, including the reported disappearance of the weekday effect in recent years.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	D History General and Old World > D History (General) H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Uncontrolled Keywords:	Seasonality; Weekday effect; Monday effect; Market efficiency; Stock markets
Publisher:	Elsevier
ISSN:	0378-4266
Last Modified:	05 Nov 2019 03:28
URI:	https://orca.cardiff.ac.uk/id/eprint/22030

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