Journal of Economics and Finance

, Volume 36, Issue 2, pp 282–302

Stock market return and volatility: day-of-the-week effect


DOI: 10.1007/s12197-009-9118-y

Cite this article as:
Berument, M.H. & Dogan, N. J Econ Finan (2012) 36: 282. doi:10.1007/s12197-009-9118-y


This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.


Day-of-the-Week EffectReturn-Volatility RelationTime Varying Risk PremiaEGARCH

JEL Classification


Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of EconomicsBilkent UniversityAnkaraTurkey
  2. 2.Department of EconometricsGazi UniversityAnkaraTurkey