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

Gordon Y N TANG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)333-351
Number of pages19
JournalEuropean Journal of Finance
Volume2
Issue number4
DOIs
Publication statusPublished - Dec 1996

Scopus Subject Areas

  • Economics, Econometrics and Finance (miscellaneous)

User-Defined Keywords

  • day-of-the-week effect
  • kurtosis
  • portfolio effect
  • skewness

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