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Le Long Hau, 2010. "Day-Of-The-Week Effects in Different Stock Markets:
New Evidence on Model-Dependency in Testing
Seasonalities in Stock Returns"
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| Abstract: |
| This paper investigates the day-of-the-week effects in the stock indexes of both
developed and emerging markets as well as the MSCI world index from March
2002?May 2008 using regression models. The results show many daily effects, occurring
from Monday to Friday, which are different from the weekend effect. No consistent daily
effects were found for either returns or volatility in any market by any of the tested
models, and the presence of effects seems to be model-dependent. Surprisingly, the MSCI
world index exhibits a strong positive return on Monday and Wednesday. The leverage
effect on the arrival of new information is reliably found in three developed markets and
the MSCI world index. |
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