International Day-of-the-Week Effects: An Empirical Examination of iShares
Document Type
Article
Publication Date
9-1-2008
Description
Ample evidence suggests that day-of-the-week patterns exist in US and foreign equity returns. We extend the evidence on the day-of-the-week effect in equity returns by examining the return patterns of iShares for 17 countries and Standard and Poor's Depository Receipts (SPDRs) to establish whether previously observed predictabilities in equity returns are reflected in iShares' returns. We utilize a split sample to examine return patterns and develop trading rules using the initial subsample. We then test those trading rules out of sample. Empirical results reveal that iShares exhibit day-of-the-week return patterns that can be exploited by informed traders.
Citation Information
Imtiaz Mazumder, M.; Chu, Ting Heng; Miller, Edward M.; and Prather, Larry J.. 2008. International Day-of-the-Week Effects: An Empirical Examination of iShares. International Review of Financial Analysis. Vol.17(4). 699-715. https://doi.org/10.1016/j.irfa.2007.09.001 ISSN: 1057-5219