The day of the week effect on stock market volatility

Date
2001
Advisor
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Instructor
Source Title
Journal of Economics and Finance
Print ISSN
1055-0925
Electronic ISSN
1938-9744
Publisher
Springer New York LLC
Volume
25
Issue
2
Pages
181 - 193
Language
English
Type
Article
Journal Title
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Abstract

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.

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Keywords
Stock market, Ordinary little square, Stock return, Percent level, Conditional variance
Citation
Published Version (Please cite this version)