Day-of-The-Week and the Returns Distribution : Evidence from the Tunisian Stock Market

In this paper, we examine the behavior of returns across the-day-of-the-week in the context of the Tunisian Market. Our evidence indicates that Mondays have abnormally losses. In opposition, returns are significantly higher in Friday. We also find that these Monday and Friday specifications are evenly observed whether these days are first or last half-of-the-month days. The same results remain similar across all weeks of the month. Losses diminish across the day-of-the-week from Monday to Friday. The losses disappear starting the end of Tuesday and the beginning of Wednesday with, however, a non significant Tuesday effect during the three first weeks of the month and abnormally losses in the last two weeks