Day-of-the-week and intraday effects in stock returns

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

“…A study by Rogalski (1984) provides evidence that the decline in price happens during the weekend when the market is closed. Smirlock and Starks (1986) confirmed the findings of Rogalski for the period of 1974-1983, however their study also showed that the exact opposite was true for earlier years (the entirety of negative returns was realized during the Monday trading session). Lakonishok and Maberly (1990), analyzed the existence of weekend effects in relation to institutional and individual investors.…”

“…Monday rates of return were on average lower than the rates of return on other days of the week and Friday rates of return were generally higher (so called weekend effect). In their study Smirlock and Starks (1986) recognized an hour of the week effect, according to which the returns on the first trading hour of Monday were on average negative and positive on the first trading hours of other days of the week. An extensive empirical study on the temporal distribution of rates of return within a month was conducted by Ariel (1987) in which he demonstrated that the majority of increases in stock prices occurred in the first half of the month.…”

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

“…Existem ainda outras possíveis explicações sobre o efeito segunda-feira dentro do mercado de ações: (a) a liberação de informações negativas sobre o final de semana; (b) baixa negociação de ativos, isto é, torna-se difícil para os grandes compradores ou vendedores a execução das ordens porque as suas operações movem significativamente os preços; (c) procedimentos de liquidação; (d) o viés comportamental e as estratégias dos especialistas ou gestores em dar respostas aos investidores; (e) as vendas de ativos descobertos e especulativos; (f) as tendências de bid-ask-spread, ou seja, as diferenças geralmente existentes no mercado entre o ask (melhor oferta) e o bid (melhor compra); (g) erros de mensuração nos preços das ações; (h) a concentração de relevantes decisões de investimento nos fins de semana; e (i) os padrões e distribuições de dividendos no mercado (Baker et al, 2008;Cross, 1973;Damodaran, 1989Damodaran, , 2010Gibbons & Hess, 1981;Jaffe & Westerfield, 1985;Lakonishok & Maberly, 1990;Penman, 1987;Smirlock & Starks, 1986).…”

A Study of Day of the Week Effect in Karachi Stock Exchange During Different Political Regimes in Pakistan

“…Jaffe and Westerfield (1985a), in their study of Japanese and Australian markets have documented Negative mean returns on Tuesday. Smirlock and Starks (1986) disclose negative returns on Mondays on hourly basis, whereas positive hourly mean returns are disclosed in the afternoon on Mondays. Board and Sutcliffe (1988) find reversed weekend effect in the mean returns of British stock markets.…”