Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets

Abstract

The presence of the day-of-the-week effect has been documented in finance literature. This paper investigates the presence of the day-of-the-week effect and return volatility in ten East-Asian financial markets in the post Asian financial crisis period, after 1998. A set of parametric and non-parametric tests is used to test the equality of mean returns and standard deviations of returns. The results indicate the presence of the day-of-the-week effect and insignificant daily returns volatility in most markets. Some of these results reinforce some previously documented evidence and others are at variance with published results for the same markets. This effect, unlike in devloped markets, is still persistent.