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

Authors

  • Chiaku Chukwuogor-Ndu Eastern Connecticut State University, United States

DOI:

https://doi.org/10.32890/ijbf2008.5.1.7

Keywords:

returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness

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.

 

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Published

04-03-2008

Issue

Vol. 5 No. 1 (2008): International Journal of Banking and Finance (IJBF) Vol. 5, No.1, 2008

Section

Articles

How to Cite

Chukwuogor-Ndu, C. (2008). Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets. International Journal of Banking and Finance, 5(1), 153-164. https://doi.org/10.32890/ijbf2008.5.1.7

Research impact

Harvested 2026-09-14
12 citations, from OpenAlex — the highest of the sources checked

Counts differ between services because each indexes a different body of literature. None of them is the whole picture.

Identifiers DOI 10.32890/ijbf2008.5.1.7 OpenAlex W2992234299