Chandra, Mahendra - In: Review of Quantitative Finance and Accounting 27 (2006) 3, pp. 297-310
The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the...