Day of the week and the cross-section of returns

Birru, Justin

doi:10.1016/j.jfineco.2018.06.008

Cited by 142 publications

(69 citation statements)

References 109 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…3 An important finding in this literature is that investor mood varies with day of the week. Similar contemporaneous effects are documented in equity markets where change in investor sentiment impacts stocks returns (Baker & Wurgler, 2006;Birru, 2018). This variation in investor mood has an impact on decision making when information is uncertain (Clore, Schwarz, & Conway, 1994;Forgas, 1995;Hegtvedt & Parris, 2014).…”

Section: Introductionmentioning

confidence: 66%

“…Birru (2018) summarizes several survey studies that find such weekday mood variations (Helliwell & Wang, 2014;McFarlane, Martin, & Williams, 1988;Rossi & Rossi, 1977;Stone, Schneider, & Harter, 2012). An indisputable finding in psychology is that investor mood improves from Thursday to Friday, whereas it worsens from Friday to Monday.…”

Section: Investor Sentimentmentioning

confidence: 96%

“…Baker and Wurgler (2007) consider VIX as a measure of investor sentiment, with decreases in VIX reflecting increases in investor sentiment, and vice versa. Birru (2018) finds that long-short anomaly returns are concentrated on Fridays (Mondays) when the speculative leg is long (short). Numerous studies have examined the impact of investor sentiment in equity markets.…”

Section: Investor Sentimentmentioning

confidence: 99%

“…Birru (2018) argues that week, unlike year, month, or day, is a unit of time that is not associated with environmental factors or astronomical events. Consistent with Birru (2018), Panel A of Table 4 documents that VIX increases by a statistically significant 2.16% from Friday to Monday and decreases by a significant −0.69% from Thursday to Friday. Therefore, it is natural to examine the impact of sentiment on the observed weekend effect in futures markets.…”

Section: Asymmetric Risk and The Weekend Effectmentioning

confidence: 99%

“…Following Birru (2018), we report that average change in VIX (ΔVIX) is highest (2.16%) on Mondays and lowest (−0.69%) on Fridays. Birru (2018) argues that when investors are fearful, they migrate to safer assets, like the Treasury market. Furthermore, our results show a significant correlation between contemporaneous changes in investor sentiment over the weekend and the weekend effect in futures markets.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Singal

Tayal

2019

Journal of Futures Markets

View full text Add to dashboard Cite

This paper examines the weekend effect in futures markets and presents rational and behavioral reasons for its existence. Specifically, we document a weekend effect (Friday's return minus the following Monday's return) in futures markets. The weekend effect occurs partly because of asymmetric risk between long and short positions around weekends; the weekend effect increases when short positions are relatively more risky. In addition, we find that both lagged and contemporaneous changes in investor sentiment are related to the weekend effect. These results are consistent with the investor sentiment literature that finds that mood improves on Fridays but deteriorates on Mondays. K E Y W O R D S asymmetric risk, futures markets, investor sentiment, short selling, weekend effect J E L C L A S S I F I C A T I O N

show abstract

Section: Introductionmentioning

confidence: 66%

Section: Investor Sentimentmentioning

confidence: 96%

Section: Investor Sentimentmentioning

confidence: 99%

Section: Asymmetric Risk and The Weekend Effectmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Singal

Tayal

2019

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

Market‐wide overconfidence and stock returns

Chen,

Han,

Huang

2023

Journal of Futures Markets

View full text Add to dashboard Cite

In this paper, a novel measurement of overconfidence over the market is developed based on the size of ambiguity (the confidence of investors in information). The proposed measure of market‐wide overconfidence is consistent with the predictions motivated by prior literature. It has a significant negative association with the next‐month market excess return. Associations between the overconfidence measure and riskier portfolio returns behave stronger and last longer, implying a risk‐taking proclivity of overconfident investors.

show abstract

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

View full text Add to dashboard Cite

In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

show abstract

Day of the week and the cross-section of returns

Cited by 142 publications

References 109 publications

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Market‐wide overconfidence and stock returns

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Contact Info

Product

Resources

About

Day of the week and the cross-section of returns

Cited by 142 publications

References 109 publications

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

Market‐wide overconfidence and stock returns

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Contact Info

Product

Resources

About

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†