A Study on the Day-of-The-Week Effect in Fifty Five Stock Markets : Evidence from Asymmetric GARCH Models

This paper studies the well known day of the week effect in stock returns. Specifically, fifty five stock market indices from fifty one countries are examined with asymmetric GARCH models. The results are mixed, as the Monday effect is reported in nine indices, while in other ten indices Friday presents the highest positive returns where Monday returns are not the lowest or are statistically insignificant. Furthermore Wednesday and Thursday present the highest returns in nine and eleven stock indices respectively. On the contrary a reverse Monday effect pattern is reported in twelve indices, indicating that there is a shift in the day of the week effect. Finally, only in two stock markets, which are examined, returns in all trading weekdays are statistically insignificant. The study of this paper is not restricted in regional or national level but is extended in global level. The purpose of this research study is to provide and capture the different daily patterns formulated among the stock markets. The identification of these patterns indicates that the market efficiency hypothesis is violated, and provides information to fund mangers and financial traders with result the optimal allocation of their portfolio and the maximization of profits