The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
International Research Journal of Finance and Economics, No. 15, pp. 78-89, 2008
Posted: 28 Jun 2007 Last revised: 7 Jul 2008
This paper investigates the day of the week effect on return and volatility for major Athens Stock Exchange (ASE) indexes. Using a conditional variance framework, which extends previous work on the Greek stock market, we find that the day of the week effect in both the return and volatility equations is present for the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance after the Greek entry to the Euro-Zone and the market upgrade to the developed ones (period 2001-2005). We suggest that this is a consequence of the competitive transformation and the institutional reforms introduced in the ASE.
Keywords: Day of the week effect, mean stock returns, volatility, GARCH, Athens Stock Exchange
JEL Classification: C32, G10
Suggested Citation: Suggested Citation