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What is Day of the Week Effects in Stock Markets about?

This paper analyzes the day of the week effects on stock market returns across nineteen countries from July 1993 to July 1998, revealing distinct patterns in both local currencies and US dollars. Higher returns are typically observed in the middle of the week, while lower returns occur towards the end, with Mondays showing the highest volatility. The findings suggest implications for international portfolio diversification and challenge the notion of weak-form market efficiency.

Author

Hokyin Lo

Language

EN