Day of the Week Effects: Recent Evidence from Nineteen Stock Markets

Abstract

This paper provides international evidence for the presence of the day of the week effects in stock market returns denominated in both local currencies and the US dollars in most of the nineteen countries in the sample for the period July 1993 to July 1998. The observed daily patterns differ for local and dollar returns, the latter being exhibiting lower daily means and higher standard deviations. In local currency terms, a pattern of higher returns around the middle of the week, Tuesday and then Wednesday; and a lower pattern towards the end of the week, Thursday and then Friday, are observed. In dollar terms, a higher pattern occurs around the middle of the week, Wednesday and then Tuesday; and a lower one is observed towards the end of the week, Thursday and then Friday. The lower patterns are more apparent in both cases. Volatility is the highest on Mondays in both local and dollar returns. Local returns have the lowest volatility towards the end of the week, Thursday and Friday, whereas the lowest volatility of dollar returns are observed on Tuesdays. The results have useful implications for international portfolio diversification.