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Day‐of‐the‐Week Effect in High Moments
Author(s) -
Galai Dan,
KedarLevy Haim
Publication year - 2005
Publication title -
financial markets, institutions and instruments
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.386
H-Index - 23
eISSN - 1468-0416
pISSN - 0963-8008
DOI - 10.1111/j.0963-8008.2005.00083.x
Subject(s) - closing (real estate) , weekend effect , names of the days of the week , equity (law) , anomaly (physics) , moment (physics) , distribution (mathematics) , business , financial economics , econometrics , demographic economics , monetary economics , economics , mathematics , finance , physics , medicine , political science , condensed matter physics , emergency medicine , mathematical analysis , classical mechanics , astronomy , law
Evidence from equity markets worldwide indicates that the Day‐of‐the‐Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair‐wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill‐over to the opening of the first trading day, increasing its variability and carrying the closing sign.