The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland

Kenneth Högholm and Johan Knif

Global Finance Journal, 2009, vol. 20, issue 1, 67-79

Abstract: This paper revisits the day-of-the-week anomaly discussion from a portfolio aggregation point of view. Using different levels of portfolio aggregation: market, industry and company levels, it is possible to partly trace the aggregation level of the effect of the factors driving the day-of-the-week anomaly. The effect of portfolio aggregation is measured using a conditional modeling approach. Overall, the results indicate more pronounced day-of-the-week structures in the conditional volatility than in the mean returns and considerably more day-of-the-week structures during the post-euro period. For this period the results indicate that the day-of-the-week effect in the mean is partly a common Finnish market characteristic whereas the day-of-the-week effect in the volatility is found on the industry level of portfolio aggregation.

Keywords: Day-of; the-week; effect; Anomaly; Finnish; stock; market; Introduction; of; the; euro (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:20:y:2009:i:1:p:67-79

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