This thesis provides a comprehensive theoretical and empirical review of over five decades of research on two of the most examined calendar anomalies: the day-of-the-week and weekend effect. The expansive literature is classified into five different phases to demonstrate and review the evolution of research on these two seasonal anomalies. It also reconciles empirically the seemingly contradicting evidence documented by prior studies by adopting the lens of Adaptive Market Hypothesis (AMH) and conducting a cross-market analysis on the two calendar anomalies using the headline stock market indices of the ten largest economies by GDP as of 2019. The main methodology employs GARCH (1,1), T-GARCH (1,1) and rolling window analysis. Currency effects are also incorporated as a robustness check by running the analysis on US dollar returns. The results indicate that AMH offers a better explanation for the existence of these seasonalities across the sample markets and their time-variant behavior.
School of Business
MS in Finance
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Kiryakos, M. A.
(2021).Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
Kiryakos, Mariam Ashraf. Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets. 2021. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.
Available for download on Friday, May 26, 2023