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...

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect....