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IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS?

Guglielmo Maria Caporale, Alex Plastun

Abstract


This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits. 


Keywords


Calendar Anomalies; Day-of-the-Week Effect; Stock Market; Efficient Market Hypothesis

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References


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DOI: http://dx.doi.org/10.5750/jpm.v11i2.1364

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