The day-of-the-Week effects of stock markets in different countries

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• 作者：Jilin Zhang^a ; ^{jilinzhang1976@fjut.edu.cn} ; Yongzeng Lai ; ^b ; ^ylai@wlu.ca ; Jianghong Lin^c ; ^{conohavac@126.com}
• 关键词：Day-of-the-week effects ; Rolling sample test ; GARCH model ; Stock markets
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：47-62
• 全文大小：6283 K
• 卷排序：20

文摘

We apply the method of rolling sample testing and the GARCH model to investigate the day–of–the–week anomalies in stock returns of 28 indices in major emerging and developed stock markets in the world. We find out that the day–of–the–week effects exist in both emerging and developed stock markets. We propose a single number to quantify the calendar effects performance. The conclusions based on both t–values and the calendar effect performance ratios are consistent.