The impact of the day-of-the-week on the VIX fear gauge

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Abstract

This study investigates the day-of-the-week effect with respect to the VIX (fear gauge). The Recent literature is in relatively unanimous consent that the VIX forecasts future volatility better than any other volatility measure. Using a Threshold-ARCH model on recent U.S. data, the results indicate that a higher fear level is present on Mondays compared with the other days of the week. Accordingly, the volume of the S&P 500 securities is lower on Mondays than on other days of the week. These findings are consistent with the impact of the day-of-the week anomaly where returns on Mondays are lower.

Original languageEnglish
Pages (from-to)24-31
Number of pages8
JournalInternational Journal of Economic Perspectives
Volume7
Issue number2
StatePublished - 2013
Externally publishedYes

Keywords

  • Anomaly
  • Day-of-the-week effect
  • GARCH
  • Trading volume
  • VIX
  • Volatility

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (all)

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