Keywords and Phrases
Day Of The Week Effect; EGARCH; Standard And Poor's; Volatility Structure Change
"Several studies have shown that the mean returns and the volatility structure of stock markets change seasonally or by day of the week. For instance, some authors found out that Monday returns are lower compared to Friday returns or that volatility on Wednesdays are lower compared to the rest of the week. Other researchers showed that these effects have changed after certain periods of economic stress. This led to the question, whether the day of the week effects in returns and volatility are in the US stock market and if patterns have changed from pre-recession through the 2007-2009 recession into the post-recession period. Therefore, a study investigating returns from February 2005 to January 2018 for the S&P 500 and its ten sectors was conducted. To investigate any changes, the data set was separated into three distinct periods. The mean returns were modeled to follow an autoregressive process, while an EGARCH formulation was selected as the appropriate model for the volatility. To estimate the effects, three different approaches were used. Results show that there is only a small day of the week effect in mean returns, and that Wednesdays differ from the rest of the week. However, almost every sector indicate day of the week effects in volatility, where volatility was highest on Tuesdays in pre-recession period, whereas results differ from sector to sector for post-recession period. The findings for the post-recession period are consistent across every approach, whereas the results for the recession period are different depending on the model used in the analysis"--Abstract, page iii.
Samaranayake, V. A.
Olbricht, Gayla R.
Mathematics and Statistics
M.S. in Applied Mathematics
Missouri University of Science and Technology
vii, 81 pages
© 2018 Marcel Alwin Trick, All rights reserved.
Thesis - Open Access
Electronic OCLC #
Trick, Marcel Alwin, "An investigation of the influence of the 2007-2009 recession on the day of the week effect for the S&P 500 and its sectors" (2018). Masters Theses. 7786.