@ARTICLE{19080432_2001,
    author = {Berument, Hakan and Balaban, Ercan}, 
    keywords = {day of the week effect, monday effect, weekend effect, эффект понедельника},
    title = {The Day of the Week Effect on Stock Market Volatility},
    journal = {Journal of Economics & Finance},
    year = {2001},
    month = {},
    volume = {25},
    number = {2},
    pages = {181-193},
    url = {http://ecsocman.hse.ru/text/19080432/},
    publisher = {},
    language = {ru},
    abstract = {This study tests the presence of the day of the week effect on stock 
market volatility by using the S&P 500 market index during the period 
of January 1973 and October 1997. The findings show that the day of 
the week effect is present in both volatility and return equations. 
While the highest and lowest returns are observed on Wednesday and 
Monday, the highest and the lowest volatility are observed on Friday 
and Wednesday, respectively. Further investigation of sub-periods 
reinforces our findings that the volatility pattern across the days 
of the week is statistically different. },
    annote = {This study tests the presence of the day of the week effect on stock 
market volatility by using the S&P 500 market index during the period 
of January 1973 and October 1997. The findings show that the day of 
the week effect is present in both volatility and return equations. 
While the highest and lowest returns are observed on Wednesday and 
Monday, the highest and the lowest volatility are observed on Friday 
and Wednesday, respectively. Further investigation of sub-periods 
reinforces our findings that the volatility pattern across the days 
of the week is statistically different. }
}