Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets
Journal / Book Title
International Business & Economics Research Journal
The pattern of intra-day stock price volatility is established in the academic literature as having a U-shape, with heightened volatility at the open and at the close compared to the other periods of the trading day. We establish in this study that there are variations in this pattern across different days of the week. More precisely, we see that the intra-day U-shaped pattern is more accentuated when we take into consideration the day of the week. Using intra-day data from the New York Stock Exchange, London Stock Exchange, Deutsche Boerse and Euronext Paris stock markets we show that Monday openings are consistently more volatile than opening periods of other days, and similarly Friday closings are consistently more volatile than closing periods of other days. These findings indicate the increased difficulty of price discovery just before and after the weekend non-trading period. Variance-ratio statistics are employed to test for the significance of our findings.
MSU Digital Commons Citation
Ozenbas, Deniz and Zamanian, Zaman, "Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets" (2006). Department of Economics Faculty Scholarship and Creative Works. 3.
Ozenbas, D., & Zamanian, Z. (2006). Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets. International Business & Economics Research Journal (IBER), 5(6). https://doi.org/10.19030/iber.v5i6.3485