The day of the week effect on stock market volatility and volume: international evidence

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buir.contributor.authorBerument, Hakan
dc.citation.epage380en_US
dc.citation.issueNumber4en_US
dc.citation.spage363en_US
dc.citation.volumeNumber12en_US
dc.contributor.authorKiymaz, H.en_US
dc.contributor.authorBerument, Hakanen_US
dc.date.accessioned2015-07-28T11:57:20Z
dc.date.available2015-07-28T11:57:20Z
dc.date.issued2003en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility. © 2003 Published by Elsevier Inc.en_US
dc.identifier.doi10.1016/S1058-3300(03)00038-7en_US
dc.identifier.eissn1873-5924
dc.identifier.issn1058-3300
dc.identifier.urihttp://hdl.handle.net/11693/11301
dc.language.isoEnglishen_US
dc.publisherJohn Wiley & Sons Ltd.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/S1058-3300(03)00038-7en_US
dc.source.titleReview of Financial Economicsen_US
dc.subjectDay of the week effecten_US
dc.subjectGARCHen_US
dc.subjectVolatilityen_US
dc.subjectVolumeen_US
dc.titleThe day of the week effect on stock market volatility and volume: international evidenceen_US
dc.typeArticleen_US
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