Day-of-the-week effects in emerging stock markets
This paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. Other countries like Argentina, Malaysia, Thailand, and Turkey exhibit day-of-the-week effects in only some of the models.
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