The Day-of-the-Week Effect in Conditional Correlation

Authors

Mahendra Chandra, Edith Cowan University

Document Type

Journal Article

Publisher

UTCC Press

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

3941

Comments

Chandra, M. (2006). The day-of-the-week effect in conditional correlation. Review of Quantitative Finance and Accounting, 27(3), 297-310. Available here

Abstract

The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region.

DOI

10.1007/s11156-006-9433-8