The dayoftheweek effect revisited internationa

Authors: Mehmet F Dicle John D Levendis

Publish Date: 2012/01/08

Volume: 38, Issue: 3, Pages: 407-437

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Abstract

The aim of this study is to determine whether the DOW effect still exists and to evaluate empirically the explanations of the DOW effect for international equity markets Evaluating 51 markets in 33 countries for the period between January 2000 and December 2007 reveals that the DOW effect persists for a significant proportion of equity markets Evaluating opentoclose returns liquidity size effect and possible spillover effects the DOW effect can be explained for almost of all the exchanges Individual stock analysis covering 37631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study Even markets without a marketlevel DOW effect contain a surprisingly large proportion of stocks with individuallevel DOW effects Interestingly this proportion is only marginally lower than that which is found in markets with a marketlevel DOW effectCoefficients for the dayoftheweek effect in equally weighted market returns estimated using Eq 1 with closetoclose and opentoclose returns Only the coefficients for the daily dummy variables are reported for compactness “” and “” refers to statistical significance at 1 and 5 level respectively “+” indicates using GARCH11 model instead of GJRGARCH11 due to nonconvergence Data were provided by Reuters through “QuoteCenter” application via Equis International for the period 20002007

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