Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

This study conducts a meta-analysis on the day-of-the-week effect to shed more light on the replication crisis of this stock market anomaly. The findings confirm that Mondays and Tuesdays provide, on average, lower daily returns. In addition, Wednesdays and Fridays indicate higher returns, with an unexpectedly strong middle-of-the-week effect on Wednesdays. The study highlights the influence of study design on these findings and notes a more substantial effect in the 1980s and 1990s. While differences in empirical methods do not impact the anomaly, index choices affect findings on day-dependent returns. The real estate sector especially stands out with a stronger day-of-the-week effect. However, geographic differences are mostly insignificant except for Oceania. Cultural differences demonstrate a weak but significant effect on abnormal daily returns. From a meta-perspective, outliers remain an essential driver for this stock market anomaly, indicating that study design is not the only factor driving the replication crisis.

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Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011

Dhaoui¹

2013

JECOSS

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Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

Abstract: In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-week

Cited by 3 publications

References 31 publications

Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market

Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market

Day-of-the-week effect: a meta-analysis

Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011

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