Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK

Gregoriou, Andros; Kontonikas, Alexandros; Tsitsianis, Nick

doi:10.1080/0960310042000187388

Cited by 30 publications

(23 citation statements)

References 23 publications

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“…Improvements in market efficiency has been cited as a possible explanation. Gregoriou et al (2004) also find that this anomaly fades away when transaction costs are taken into consideration.…”

Section: Literaturementioning

confidence: 89%

The day-of-the-week effect in conditional correlation

Chandra

2006

Rev Quant Finan Acc

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The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. Copyright Springer Science + Business Media, LLC 2006Day-of-the-week effect, Conditional correlation, Asia-Pacific markets,

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Section: Literaturementioning

confidence: 89%

The day-of-the-week effect in conditional correlation

Chandra

2006

Rev Quant Finan Acc

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“…6 To the best of our knowledge only Lenkkeri et al (2006) have employed the same dataset for calendar anomalies. 7 Gregoriou et al (2004) support that the small average excess returns documented by researchers is not likely to generate net gains when employed in a trading strategy once the transaction costs have been taken into account. the 20th century.…”

Section: Introductionmentioning

confidence: 88%

The day-of-the-week effect is weak: Evidence from the European real estate sector

2015

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The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling-regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coefficients per day ranges between 15 % and 24 %. We show that higher average Friday returns evident in previous literature, remain significant in 21 % of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism .

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“…On the other hand, Gregoriou, Kontonikas and Tsitsianis (2004) used the GARCH model to measure the volatility of stock returns of the UK stock market utilizing the FTSE 100 index. Their results provide evidence of the day-of-the-week effect.…”

Section: Literature Reviewmentioning

confidence: 99%

An Empirical Investigation of the Day-of- the-Week Effect on Stock Returns and Volatility: Evidence from Muscat Securities Market

Al-Jafari¹

2012

IJEF

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This paper investigates the anomalous phenomenon of the day-of-the-week effect on Muscat securities market. The study uses a sample that covers the period from 1 December 2005 until 23 November 2011. It also utilizes a nonlinear symmetric GARCH (1,1) model and two nonlinear asymmetric models, TARCH (1,1) and EGARCH (1,1). The empirical findings provide evidence of no presence of the day-of-the-week effect. However, unlike other developed markets, Muscat stock market seems to start positive and ends also positive with downturn during the rest of the trading days. In addition, the parameter estimates of the GARCH model (and ) suggest a high degree of persistent in the conditional volatility of stock returns. Furthermore, the asymmetric EGARCH, and TARCH models show no significant evidence for asymmetry in stock returns. The study concludes that Muscat securities market is an efficient market.

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Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK

Cited by 30 publications

References 23 publications

The day-of-the-week effect in conditional correlation

The day-of-the-week effect in conditional correlation

The day-of-the-week effect is weak: Evidence from the European real estate sector

An Empirical Investigation of the Day-of- the-Week Effect on Stock Returns and Volatility: Evidence from Muscat Securities Market

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