The Day of the Week Effect: Unconditional and Conditional Market Risk Analysis

Olfa Chaouachi and Imen Dhaou
Additional contact information
Olfa Chaouachi: Faculty of Economic Sciences and Management, University of Tunis El Manar, Tunisia
Imen Dhaou: Faculty of Economic Sciences and Management, University of Tunis El Manar, Tunisia

International Journal of Economics and Financial Issues, 2020, vol. 10, issue 6, 94-98

Abstract: The objective of our investigation is to test empirically the existence of the day of the week effect on the Canadian stock market between September 2009 and August 2019. Our findings show that the day of the week effect is present. The highest and lowest mean daily returns of the S&P/TSX Composite index are detected on Tuesday and Monday, respectively. Moreover, we try to give an explanation of the day of the week effect by referring to the world market risk. Using unconditional and conditional models, our results reveal that only the significant Monday effect is still present after accounting for world market risk. Then, we can deduce that the Monday effect in returns of the S&P/TSX Composite index is not explained by the risk-return relationship and that it is an anomaly of the Canadian stock market.

Keywords: Canadian stock market; Day of the week anomaly; Monday effect; World market risk. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/10610/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/10610/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2020-06-13

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().