The day-of-the-week effect in the first and second moments of the return distribution is a well researched area … models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The … Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in …

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 …

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …