Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

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Title

Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

Author

DHAOUI, Abderrazak
FARHANI, Ramzi
GARFATTA, Riadh

Abstract

In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-week in the context of the Japanese Market. Several hypotheses are used to explain the day-of-the-week effect. Results indicate that Mondays have abnormal losses and low trading volume. Over other days the returns and the trading volume increase significantly once the market thickens, prices become more informative and the information effect diminishes. Our results do not support the outliers’ hypothesis, the half-of-the-month hypothesis and the autocorrelation hypothesis. They are, however, consistent with the adverse selection and the overconfidence hypotheses.

Keywords

Article
PeerReviewed

Publisher

International Burch University

Date

2012-01

Extent

1065

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