The Day of the Week Effect on Stock Market Volatility.

Abstract

This study tests the presence of the day of the week effect

on stock market volatility by using the S&P 500 market
index during the period of January 1973 and October 1997.
The findings show that the day of the week effect is present
in both volatility and return equations.  
While the highest and lowest returns are observed
on Wednesday and Monday, the highest

and the lowest volatility are observed on Friday and

Wednesday, respectively.
Further investigation of sub-periods reinforces our findings
that the volatility pattern across the

days of the week is statistically different.

http://berument.bilkent.edu.tr/jef01.pdf

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The most important calendar anomalies, which many
researchers have been working on, are the following:

•

Day-of-the-week effect, according to which the average
stock returns of Monday are negative, while
the average stock returns of Friday are positive,

•

January effect, according to which
the average stock returns are higher in January than
they are in the other months,

•

The holiday effect, according to which
the stock returns before holidays are higher
than they are in any other day of the year.

http://www.drogalas.gr/uploads/publications/Seasonalities_in_stock_markets_the_Day_of_the_Week_Effect.pdf