Open Access Open Access  Restricted Access Subscription or Fee Access


Guglielmo Maria Caporale, Alex Plastun


This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits. 


Calendar Anomalies; Day-of-the-Week Effect; Stock Market; Efficient Market Hypothesis

Full Text:



A. Agrawal and K. Tandon ‘Anomalies or illusions? Evidence from stock markets in eighteen countries’ (1994) Journal of International Money and Finance, 13, 83-106.

G. Caporale, L. Gil-Alana and A. Plastun ‘The weekend effect: an exploitable anomaly in the Ukrainian stock market?’ (2016) Journal of Economic Studies, Vol. 43 Iss: 6, 954-965.

G. Caporale, L. Gil-Alana, A. Plastun and I. Makarenko ‘The weekend effect: a trading robot and fractional integration analysis’ (2017) forthcoming, International Journal of Bonds and Derivatives.

F. Cross ‘The behavior of stock prices on Fridays and Mondays’ (1973) Financial Analysts Journal, 29 (6), 67-69.

E. Fama ‘Efficient markets: A review of theory and empirical work’ (1970) Journal of Finance, 25, 2, 383-417.

P. Fortune ‘Are stock returns different over weekends? а jump diffusion analysis of the «weekend effect»’ (1999) New England Economic Review, September-October, 3-19.

K. French ‘Stock returns and the weekend effect’ (1980) Journal of Financial Economics, 8 (1), 55-69.

M. Gibbons and P. Hess ‘Day effects and asset returns’ (1981) Journal of Business, 54(4), 579-596.

D. Keim and R. Stambaugh ‘A further investigation of the weekend effect in stock returns’ (1984) Journal of Finance, Vol. 39, 819-835.

D. Olson, N. Chou and C. Mossman ‘Stages in the life of the weekend effect’ (2010) Journal of Financial Economics, 21, 542-422.

F-É. Racicot ‘Low-frequency components and the weekend effect revisited: Evidence from Spectral Analysis’ (2011) International Journal of Finance, 2, 2-19.

R. Rogalski ‘New findings regarding day-of-the-week returns over trading and non-trading periods: A note’ (1984) Journal of Finance, Vol. 39, 1603-1614.

M. Smirlock and L. Starks ‘Day-of-the-week and intraday effects in stock returns’ (1986) Journal of Financial Economics, Vol. 17, 197-210.

G. Schwert ‘Anomalies and market efficiency’ (2003) Handbook of the Economics of Finance. Elsevier Science B.V., Ch.5, 937-972.



  • There are currently no refbacks.