The fading day-of-the-week effect in developed equity marketsJournal of International Business Research (2003)
The day-of-the-week effect, one of the most widely documented anomalies, has revealed that security returns tend to be significantly higher on some days of the week relative to other days. If the efficiency of markets improves over time, then the day-of-the-week effect may have faded away in recent time periods. This paper investigates the existence of this anomaly in the world's 23 developed equity markets over the last 22 years. The findings show that the day-of-the-week effect clearly was evident in the vast majority of developed markets during the 1980s, but it appears to have faded away in the 1990s. These results imply that increases in market efficiency over long time periods may have dissipated the effects of certain anomalies in more recent years.
Citation InformationVivek Pandey, G. Kohers, N. Kohers and T. Kohers. "The fading day-of-the-week effect in developed equity markets" Journal of International Business Research Vol. 2 Iss. 2 (2003) p. 71 - 83
Available at: http://works.bepress.com/vivek-pandey/20/