Day-of-the-week effect on stock market returns, volatility, and skewness

• N. Hande Sevgi ^[1] ; Mehmet Baha Karan ^[2] ; M. Hakan Berument ^[3]
  1. [1] Ufuk University

     Ufuk University

     Turquía

     
  2. [2] Hacettepe University

     Hacettepe University

     Turquía

     
  3. [3] Bilkent University

     Bilkent University

     Turquía

     

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• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 54, Nº 4, 2025, págs. 460-483
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • The day-of-the-week effect—characterised by lower expected returns (mean) on Mondays and higher Monday volatility (conditional variance) compared to on Fridays – is a well-documented regularity in stock markets. In this paper, we examine the effect of the day-of-the-week on the distribution of returns for its symmetry (skewness). To achieve this, we analyse the five leading stock indicators in the US markets from 1928 to 2023. We document lower (and negative) conditional skewness on Mondays and the results are robust. This implies that frequent small gains and occasional significant losses are more probable on Mondays than on Fridays.