The day-of-the-week effect on global stock market volatility after a market shock

Taehyeon Kang and Eunyoung Cho

Applied Economics Letters, 2024, vol. 31, issue 8, 696-701

Abstract: This paper suggests new evidence for the recent surge of the day-of-the-week effect on market volatility after a stock market shock. Using global market indices, this study revisits the day-of-the-week effect on market volatility and provides the first evidence of Tuesday’s low volatility after the COVID-19 shock. We also find no evidence of a day-of-the-week volatility effect from the analysis of the pre-COVID-19 period. Overall, our results provide implications for the investment decision-making and risk management of portfolio managers after a market shock.

Date: 2024
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DOI: 10.1080/13504851.2022.2142504

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