Day-of-the-week effect on skewness and kurtosis: a direct test and portfolio effect

This paper examines the day-of-the-week effect on skewness and kurtosis of stock returns of six international stock markets using a new approach. Empirical results show that a day-of-the-week effect exists on the skewness and kurtosis of all stock markets except the US market. The portfolio effect on skewness and kurtosis of stock returns across different weekdays is compared. Our results show that skewness can be eliminated through diversification only on Tuesday while kurtosis can be diversified away on all weekdays except Thursday. Hence, it may not always be beneficial for rational investors to diversity internationally when the stock returns are not normally distributed.