The day-of-the-week effect revisited: international evidence

Mehmet Dicle () and John Levendis

Journal of Economics and Finance, 2014, vol. 38, issue 3, 407-437

Abstract: The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January 2000 and December 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect. Copyright Springer Science+Business Media, LLC 2014

Keywords: Day-of-the-Week Effect; Market Efficiency; Market Anomaly; G14; G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s12197-011-9223-6

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