Day-of-The-Week Effect in High Moments
26 Pages Posted: 29 Mar 2005
Date Written: March 2005
Abstract
Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.
Keywords: Day of the week, high moments, corporate announcements
JEL Classification: C14, C31, G14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Evidence on the Speed of Convergence to Market Efficiency
By Tarun Chordia, Avanidhar Subrahmanyam, ...
-
Equity Returns at the Turn of the Month
By Wei Xu and John J. Mcconnell
-
Testing the Significance of Calendar Effects
By Peter Reinhard Hansen, Asger Lunde, ...
-
The Nepalese Stock Market: Efficiency and Calendar Anomalies
-
Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange
By Recep Bildik
-
Multiple Comparisons of Return Distributions: A New Look at the Day-of-The-Week Effect
By Dan Galai and Haim Kedar-levy