An Econometric Investigation of the Day-of-the-Week Effect and Returns Volatility in Fifteen Asia Pacific Financial Markets (1998-2003)

Even though the presence of the-day-of-the-week effect has been documented in finance literature, its presence in the aftermath of a financial crisis has not been explored. This paper investigates the presence of day-of-the-week effect and returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most of Asia Pacific Financial Markets. The results of the Levene's test show that in none of the fifteen Asian Pacific countries can the homoskedasticity hypothesis be rejected. Some of these findings differ from previously documented evidence on the APFM