The day-of-the-week effect: The international evidence

Dubois, Michel; Louvet, Pascal

doi:10.1016/0378-4266(95)00054-2

Cited by 189 publications

(113 citation statements)

References 36 publications

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“…The authors find that the United States market is particularly important in its influence on the Japanese market, and the influence is strongest on Mondays. Other studies have confirmed the widespread nature of the day-of-the-week effect for international markets, namely, Chang, Pinegar and Ravichandran (1993), Agrawal and Tandon (1994) and Dubois and Louvet (1996). Generally, lower returns tend to occur on Tuesday and higher returns on Friday in the European markets.…”

Section: Day-of-the-week (Weekend) Effectmentioning

confidence: 72%

Seasonalities in China's Stock Markets: Cultural or Structural?

Mitchell

Ong²

2006

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A-and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns. JEL Classification Numbers: G11, G12, G14, G15

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Section: Day-of-the-week (Weekend) Effectmentioning

confidence: 72%

Seasonalities in China's Stock Markets: Cultural or Structural?

Mitchell

Ong²

2006

IMF Working Papers

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“…The day-of-the-week effect in the US market was also presented, among others, in the works of Jaffe et al (1989), French (1980), and Lakonishok and Maberly (1990). The evidence for UK market was examined by Theobald and Price (1984), Jaffe and Westerfield (1985), Board and Sutcliffe (1988), Agrawal and Tandon (1994), Peiro (1994), Mills and Coutts (1995), Dubois and Louvet (1996), and Coutts and Hayes (1999). Peiro (1994), Agrawal and Tandon (1994), Dubois and Louvet (1996) and Kramer (1996) provided evidence of negative Monday and Tuesday returns for Frankfurt exchange.…”

Section: Introductionmentioning

confidence: 85%

“…The evidence for UK market was examined by Theobald and Price (1984), Jaffe and Westerfield (1985), Board and Sutcliffe (1988), Agrawal and Tandon (1994), Peiro (1994), Mills and Coutts (1995), Dubois and Louvet (1996), and Coutts and Hayes (1999). Peiro (1994), Agrawal and Tandon (1994), Dubois and Louvet (1996) and Kramer (1996) provided evidence of negative Monday and Tuesday returns for Frankfurt exchange. In works of Solnik andBousquet (1990), andAgarwal andTandon (1994), there was found an evidence of negative Tuesday rates of return in Paris market, while Condoyanni et al (1987) and Peiro (1994) demonstrated negative Monday and Tuesday rates or return on the same market and Barone (1990) in Milan.…”

Section: Introductionmentioning

confidence: 99%

Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities

Borowski¹

2015

EJBM

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“…Damodaran (1989) contribuye con determinar que se presenta un claro patrón efecto fin de semana, donde los días viernes presentan rentabilidades estadísticamente significativas, superiores que el resto de la semana. Extendiendo el análisis sobre once índices de nueve países distintos, Dubois y Louvet (1996) encuentran la presencia del efecto día de semana para todo el período de tiempo estudiado.…”

Section: A Revisión Del Efecto Día De Semanaunclassified

Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos

Rojas

Kristjanpoller

2015

Lec Econ

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Clasificación JEL: C12, C22, G10, G14, G15Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets Abstract: This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volume variation for almost all analyzed markets. Keywords: price-volume relationship, day-of-the-week effect, emerging markets, Granger causality. JEL Classification: C12, C22, G10, G14, G15Une analyse du rapport prix-volume à travers la causalité et l'effet du «jour de la semaine», appliquée aux marchés boursiers d'Amérique latine

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The day-of-the-week effect: The international evidence

Cited by 189 publications

References 36 publications

Seasonalities in China's Stock Markets: Cultural or Structural?

Seasonalities in China's Stock Markets: Cultural or Structural?

Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities

Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos

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