Πως επηρεάζει η μέρα της εβδομάδας τις αποδόσεις των μετοχών πριν και μετά την οικονομική κρίση

Abstract

The purpose of this research is to investigate the day of the week effect on stock returns and determine the volatility of returns on the US capital market. In particular, the research is studying the daily returns of the S&P 500 in the period 2006-2016 for each of the days of the week to see whether there are significant changes in stock returns depending on the day of the week before and after the crisis without the addition of a new information on the stocks. The research uses quantitative analysis of primary data from the S&P 500 index, excluding the days. The main research hypothesis is that Monday's returns are significantly lower or negative than the rest of the week. Following the use of the GARCH model for the 2006-2010 and 2011-2016 sub-periods, as well as the analysis of descriptive time series statistics, the research finds that concerning the stockreturns on Monday, the day of the week effect is confirmed for both subperiods 2006-2010 and 2011-2016.The same result is produced by the analysis of variance. Yet, based on the logarithmic analysis of Monday's earnings, the day of the week effect is confirmed for the 2006-2010, but not for the 2011-2016. However, in periods of high volatility, it is expected that the investment sentiment will be subject to an erroneous forecast of expected returns, regardless of the day of the week.