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The day of the week effect on stock market volatility and volume: International evidence
Author(s) -
Kiymaz Halil,
Berument Hakan
Publication year - 2003
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/s1058-3300(03)00038-7
Subject(s) - volatility (finance) , economics , forward volatility , stock market , volatility risk premium , volatility swap , volatility smile , financial economics , market liquidity , implied volatility , monetary economics , stock (firearms) , names of the days of the week , econometrics , geography , linguistics , context (archaeology) , philosophy , archaeology
This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.