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An Investigation Of The Influence Of The 2007-2009 Recession On The Day Of The Week Effect For The S&P 500 And Its Sectors, Marcel Alwin Trick
An Investigation Of The Influence Of The 2007-2009 Recession On The Day Of The Week Effect For The S&P 500 And Its Sectors, Marcel Alwin Trick
Masters Theses
"Several studies have shown that the mean returns and the volatility structure of stock markets change seasonally or by day of the week. For instance, some authors found out that Monday returns are lower compared to Friday returns or that volatility on Wednesdays are lower compared to the rest of the week. Other researchers showed that these effects have changed after certain periods of economic stress. This led to the question, whether the day of the week effects in returns and volatility are in the US stock market and if patterns have changed from pre-recession through the 2007-2009 recession into …