The wandering weekday effect in major stock markets

Article

Doyle, J. and Chen, C. 2009. The wandering weekday effect in major stock markets. Journal of Banking and Finance. 33 (8), pp. 1388-1399. https://doi.org/10.1016/j.jbankfin.2009.02.002
TypeArticle
TitleThe wandering weekday effect in major stock markets
AuthorsDoyle, J. and Chen, C.
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.

PublisherElsevier
JournalJournal of Banking and Finance
ISSN0378-4266
Electronic1872-6372
Publication dates
Online14 Feb 2009
PrintAug 2009
Publication process dates
Submitted26 Sep 2008
Accepted09 Feb 2009
Deposited19 Jan 2010
Output statusPublished
Additional information

Reproduced by permission of publisher

Digital Object Identifier (DOI)https://doi.org/10.1016/j.jbankfin.2009.02.002
LanguageEnglish
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