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 language | English |
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Pages (from-to) | 24-31 |
Number of pages | 8 |
Journal | International Journal of Economic Perspectives |
Volume | 7 |
Issue number | 2 |
State | Published - 2013 |
Externally published | Yes |
Keywords
- Anomaly
- Day-of-the-week effect
- GARCH
- Trading volume
- VIX
- Volatility
ASJC Scopus subject areas
- General Economics, Econometrics and Finance