{"id":9042,"date":"2022-07-27T06:49:39","date_gmt":"2022-07-27T06:49:39","guid":{"rendered":"https:\/\/depocen.org\/publications\/day-of-the-week-effects-in-different-stock-marketsnew-evidence-on-model-dependency-in-testingseasonalities-in-stock-returns\/"},"modified":"2022-07-27T06:49:39","modified_gmt":"2022-07-27T06:49:39","slug":"day-of-the-week-effects-in-different-stock-marketsnew-evidence-on-model-dependency-in-testingseasonalities-in-stock-returns","status":"publish","type":"publications","link":"https:\/\/depocen.org\/vi\/publications\/day-of-the-week-effects-in-different-stock-marketsnew-evidence-on-model-dependency-in-testingseasonalities-in-stock-returns\/","title":{"rendered":"Day-Of-The-Week Effects in Different Stock Markets:\r\nNew Evidence on Model-Dependency in Testing\r\nSeasonalities in Stock Returns"},"content":{"rendered":"<p>This paper investigates the day-of-the-week effects in the stock indexes of both<br \/>\ndeveloped and emerging markets as well as the MSCI world index from March<br \/>\n2002?May 2008 using regression models. The results show many daily effects, occurring<br \/>\nfrom Monday to Friday, which are different from the weekend effect. No consistent daily<br \/>\neffects were found for either returns or volatility in any market by any of the tested<br \/>\nmodels, and the presence of effects seems to be model-dependent. Surprisingly, the MSCI<br \/>\nworld index exhibits a strong positive return on Monday and Wednesday. The leverage<br \/>\neffect on the arrival of new information is reliably found in three developed markets and<br \/>\nthe MSCI world index.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1760],"topic_publications":[],"class_list":["post-9042","publications","type-publications","status-publish","hentry","author_publications-le-long-hau"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications\/9042","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/media?parent=9042"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/cate_publications?post=9042"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/author_publications?post=9042"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/topic_publications?post=9042"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}