This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the...

The examination of the day-of-the-week effect has been a subject of financial research for over five decades. However, findings regarding different returns on specific weekdays have remained inconclusive. We aim to address this inconsistency by extending existing theories through the...