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Day-of-the-week effects in financial contagion

Deeya Sewraj, Bartosz Gebka () and Robert Anderson

Finance Research Letters, 2019, vol. 28, issue C, 221-226

Abstract: We propose a new approach to test for financial contagion, which accounts for the existence of day-of-the-week effects in stock returns. For a set of European markets, we provide evidence that contagion effects from the U.S. during the 2007-9 financial crisis varied across days of the week.

Keywords: Financial contagion; Day-of-the-week effect; Financial crisis (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226