The Day of the Week Effect on Stock Market Volatility PDF Download
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Author: Hakan Berument
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Category :
Languages : en
Pages :
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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.
Author: Hakan Berument
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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.
Author: Joe Sundram
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 116
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Author: Hakan Berument
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Category :
Languages : en
Pages :
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This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.
Author: Hakan Berument
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Category :
Languages : en
Pages :
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This 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.
Author: Juan Liu
Publisher:
ISBN:
Category : GARCH model
Languages : en
Pages : 56
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"Previous studies have shown that returns associated with the stock market or foreign exchange's futures show variations across the day of the week. On such study, that employs a modified GARCH model for estimation, shows that returns associated with the S&P 500 stock index is highest on Wednesday and lowest returns on Monday. The same study shows that volatility is highest on Fridays and lowest on Wednesdays. In this study we investigate if this day-of-the-week effect on returns and volatility is present in the different sectors that constitute the S&P 500 index. The data set used provides daily returns from February 2005 to February 2015 and is more recent than the data used for the original study on the S&P index. Results show mixed outcomes with some days showing higher returns or volatilities on certain days of the week depending on the sector."--Abstract, page iii.
Author: Todorka Petkova Tosheva
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Category :
Languages : en
Pages :
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Author: Marc Häfliger
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Category :
Languages : en
Pages :
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This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.
Author: Jörg Prokop
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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This paper studies the development of the day-of-the-week effect in German and US stock market returns over the past decades. Using an OLS regression approach, we analyse four major German stock market indices for abnormal returns on each trading day of the week, with the longest observation period ranging from 2007 back to the mid-1960s. Moreover, as prior studies indicate the existence of a relationship between the magnitude of the day-of-the-week anomaly and the time of the month at which it occurs, we also analyse the indices' return behaviour categorised by week of the month. The results are compared to those of prior studies, as well as to our own findings for a sample covering the US stock market. We find that for both markets, the leading equity indices, DAX and SP500, exhibit a strong Monday effect during the older sample periods, which is fading over time, reversing during the 1990s, and vanishing after the year 2000. However, regarding smaller stock market indices, our results for the German and for the US data differ substantially, indicating that there is no general parallel market behaviour with respect to this specific return anomaly. Finally, with respect to the more recent sample periods, none of the daily return anomalies observable between the 1960s and the 1980s seem to have persisted, suggesting an increase in informational efficiency of the respective markets over time.
Author: Dimitris Kenourgios
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.
Author: Niyoshaka Nistlaba Stanley Lameck
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 128
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