Day-of-the-week effects in emerging stock markets

Syed Basher and Perry Sadorsky

Applied Economics Letters, 2006, vol. 13, issue 10, 621-628

Abstract: This study uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. The results in this study show that while the day-of-the-week effect is not present in the majority of emerging stock markets studied, some emerging stock markets do exhibit strong day-of-the-week effects even after accounting for conditional market risk.

Date: 2006
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DOI: 10.1080/13504850600825238

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