The day - of - the - week effect on stock returns of developed and emerginging stock exchanges: A theoretical Ananlysis

the purpose of this study is to concentrate on the theoretical as well as empirical analysis of studies of day-of-the-week effect on developed and emerging stock markets. the most widely used method for investigating the effect is regression analysis. however, several parametric and non-parametric methods have been used to investigate the volatility and robustness of the effect. the result shows that abnormal pattern of stock returns in various days is different. also, there is negative average return on Mondays and positive return on Fridays.

Calendar effect- Day-of-the-week effect, efficient market hypothesis, classical linear regression, autoregressive conditional heteroscedasticity,generalized autoregressive conditional heteroscedasicity.,