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The day-of-the-Week effects of stock markets in different countries

Jilin Zhang, Yongzeng Lai and Jianghong Lin

Finance Research Letters, 2017, vol. 20, issue C, 47-62

Abstract: This paper applies the method of rolling sample test and the GARCH model to investigate the day-of-the-week anomalies in stock returns of main indices in 28 markets from 25 countries over the world. We propose the calendar effect performance ratio to measure the significance of day-of-the-week anomalies in this paper. Our study demonstrates that the Monday anomalies are prominent in SZC11meanings of symbols are given in Table 1 in the Appendices, DOW, MERVAL, WIG20, FTSEMIB and STI index; the Tuesday anomalies are prominent in SPX, SPXT; the Wednesday anomalies are prominent in MEXBOL, JCI, DAX, SMI, AS51, NKY and NZSE50FG; the Thursday anomalies are prominent in SMEC, PX and PCOMP; the Friday anomalies are prominent in IBOV, IPSA, RTSI$, XU100, SENSEX, FBMKLCI, IBEX, and HSI index. We also investigate calendar effects for 6 stock market indices measured in US dollars and still find the calendar effect phenomena for these selected indices when they are in US dollars. The findings in this paper will be valuable to both the academia and practitioners.

Keywords: Day-of-the-week effects; Rolling sample test; GARCH model; Stock markets (search for similar items in EconPapers)
Date: 2017
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