[PDF] The Day Of The Week Effect eBook

Author : George Drogalas
Publisher :
Page : 15 pages
File Size : 35,33 MB
Release : 2014
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ISBN :

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Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.

Author : Marc Häfliger
Publisher :
Page : pages
File Size : 19,52 MB
Release : 2012
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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 : Robert A. Ariel
Publisher : Palala Press
Page : 52 pages
File Size : 32,68 MB
Release : 2018-03-03
Category : History
ISBN : 9781379114314

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This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Author : Katrina Onstad
Publisher : HarperCollins
Page : 180 pages
File Size : 33,47 MB
Release : 2017-05-02
Category : Self-Help
ISBN : 0062440209

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Encroaching work demands—coupled with domestic chores, overbooked schedules, and the incessant pinging of our devices—have taken a toll on what used to be our free time: the weekend. With no space to tune out and recharge, every aspect of our lives is suffering: our health is deteriorating, our social networks (the face-to-face kind) are dissolving, and our productivity is down. The notion of working less and living more, once considered an American virtue, has given way to the belief that you must be “on” 24/7. Award-winning journalist Katrina Onstad, pushes back against this all-work, no-fun ethos. Tired of suffering from Sunday night letdown, she digs into the history, positive psychology, and cultural anthropology of the great missing weekend and how we can revive it. Onstad follows the trail of people, companies, and countries who are vigilantly protecting their time off for joy, adventure, and most important, purpose. Filled with personal and professional inspiration, The Weekend Effect is a thoughtful, well-researched argument to take back those precious 48 hours, and ultimately, to save ourselves.

Author : William T Ziemba
Publisher : World Scientific
Page : 607 pages
File Size : 41,58 MB
Release : 2012-07-25
Category : Business & Economics
ISBN : 9814405477

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This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Author : Hakan Berument
Publisher :
Page : pages
File Size : 44,77 MB
Release : 2018
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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 : Thorsten Hens
Publisher : Elsevier
Page : 607 pages
File Size : 45,41 MB
Release : 2009-06-12
Category : Business & Economics
ISBN : 0080921434

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The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics

Author : Sardar M. N. Islam
Publisher : Springer Science & Business Media
Page : 208 pages
File Size : 18,92 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3790826669

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This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.

Author : Hakan Berument
Publisher :
Page : pages
File Size : 11,90 MB
Release : 2018
Category :
ISBN :

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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.