Seasonalities in Stock Markets: The Day of the Week Effect (2024)

See all articles by George Drogalas

George Drogalas

University of Macedonia - Department of Business Administration

Stergios Athianos

International Hellenic University

George Bakas

University of Greenwich

Elekidis George

Technological Educational Institute of Serres

Abstract

Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.

Drogalas, George and Athianos, Stergios and Bakas, George and George, Elekidis, Seasonalities in Stock Markets: The Day of the Week Effect (June 26, 2007). Available at SSRN: https://ssrn.com/abstract=2515097 or http://dx.doi.org/10.2139/ssrn.2515097