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The day-of-the-week effect in foreign exchange markets: multi-currency evidence

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  • Yamori, Nobuyoshi
  • Kurihara, Yutaka

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  • Yamori, Nobuyoshi & Kurihara, Yutaka, 2004. "The day-of-the-week effect in foreign exchange markets: multi-currency evidence," Research in International Business and Finance, Elsevier, vol. 18(1), pages 51-57, April.
    • Handle: RePEc:eee:riibaf:v:18:y:2004:i:1:p:51-57
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    1. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    2. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    3. Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," FRB Atlanta Working Paper 2000-6, Federal Reserve Bank of Atlanta.
    4. Yamori, Nobuyoshi, 1998. "Does international trading of stocks decrease pricing errors? Evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 413-432, December.
    5. Kiyoshi Kato, 1990. "Weekly Patterns in Japanese Stock Returns," Management Science, INFORMS, vol. 36(9), pages 1031-1043, September.
    6. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
    7. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. "The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-454, June.
    8. Lakonishok, Josef & Maberly, Edwin, 1990. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
    9. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
    10. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
    11. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    12. Lakonishok, Josef & Levi, Maurice, 1982. "Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
    13. So, Jacky C, 1987. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Comment," Journal of Finance, American Finance Association, vol. 42(1), pages 181-188, March.
    14. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-550, November.
    15. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 497-513, December.
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    Cited by:

    1. C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.
    2. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 27(4), pages 71-94, December.
    3. Faheem Aslam & Ahmed Imran Hunjra & Tahar Tayachi & Peter Verhoeven & Yasir Tariq Mohmand, 2022. "Calendar Anomalies in Islamic Frontier Markets," SAGE Open, , vol. 12(2), pages 21582440221, May.
    4. Roberto Cellini & Tiziana Cuccia, 2014. "Seasonal processes in the Euro--US Dollar daily exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 24(3), pages 161-174, February.
    5. Vipul Kumar Singh, 2019. "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 493-507, December.
    6. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    7. Saša Popović & Andrija Đurović, 2014. "Intraweek and intraday trade anomalies: evidence from FOREX market," Applied Economics, Taylor & Francis Journals, vol. 46(32), pages 3968-3979, November.
    8. Hüseyin Kaya & Sadullah Çelik, 2009. "Empirical Evidence For Day Of The Week Effect In An Emerging Market: The Turkish Case," 2009 Meeting Papers 219, Society for Economic Dynamics.
    9. Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008. "The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
    10. Darko Stosic & Dusan Stosic & Irena Vodenska & H. Eugene Stanley & Tatijana Stosic, 2021. "A new look at calendar anomalies: Multifractality and day of the week effect," Papers 2106.06164, arXiv.org.
    11. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    12. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    13. Ramona Dumitriu & Razvan Stefanescu, 2010. "Changes in the dow effects in the romanian foreign exchange market," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 11(1), pages 163-179, May.
    14. Wang, Xinya & Liu, Huifang & Huang, Shupei, 2019. "Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London," Resources Policy, Elsevier, vol. 61(C), pages 522-531.
    15. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.
    16. Ma, Donglian & Tanizaki, Hisashi, 2019. "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Elsevier, vol. 49(C), pages 127-136.
    17. Boubaker, Sabri & Essaddam, Naceur & Nguyen, Duc Khuong & Saadi, Samir, 2017. "On the robustness of week-day effect to error distributional assumption: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 114-130.
    18. Dumitriu Ramona & Stefanescu Razvan, 2021. "TOQ Effects on the Romanian Foreign Exchange Market," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 246-253.
    19. Ke, Mei-Chu & Chiang, Yi-Chein & Liao, Tung Liang, 2007. "Day-of-the-week effect in the Taiwan foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2847-2865, September.
    20. Yutaka Kurihara & Akio Fukushima, 2017. "The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(3), pages 1-4.
    21. Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
    22. Berument, Hakan & Coskun, M. Nejat & Sahin, Afsin, 2007. "Day of the week effect on foreign exchange market volatility: Evidence from Turkey," Research in International Business and Finance, Elsevier, vol. 21(1), pages 87-97, January.
    23. Chang, Mei-Ching & Suardi, Sandy & Chang, Yuanchen, 2017. "Foreign exchange intervention in Asian countries: What determine the odds of success during the credit crisis?," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 370-390.
    24. Zhang, Tai-Wei & Chueh, Horace & Hsu, Yao Hua, 2015. "Day-of-the-week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market," Economic Modelling, Elsevier, vol. 47(C), pages 271-279.

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