This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
This journal is licensed by a Creative Commons Attribution License (CC BY-NC-SA 4.0) Attribution-Non Commercial 4.0 International. For the CC licenses, the principle isthe creative freedom. This system complements the copyright without opposing it, conscious of its importance in our culture. The content of the articles is the responsibility of each author, and does not compromise in any way, to the journal or the university. It allows the transmission and reproduction of titles, abstracts and full content, with academic, scientific, cultural ends, provided acknowledgment of the respective source. This work cannot be used for commercial purposes.
They journal does not charge authors for submission or publication.
Abstract
The Day-of-the-Week effect (DotWe) refers to consistent deviations in asset prices on some specific days of the week. Its presence signals inefficient usage of information by the market.
In this work, we investigate the presence and evolution of the DotWe in Colombia, using efficient Bayesian estimation and COLCAP index data from 2008 to 2024. This way, we actualize the data and methodology from previous works.
We find a DotWe on Wednesdays, in which we observe in general significantly higher returns than on other days. While this effect is persistent, it's not consistent over time. This evidence adds to that of a long list of authors who do not support the Efficient Market Hypothesis.
References
Aggarwal, R. & Rivoli, P. (1989). Seasonal and day-of-the-week effects in four emerging stock markets. Financial Review, 24, 541-550. https://doi.org/10.1111/j.1540-6288.1989.tb00359.x
Aharon, D.Y. & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters, 24, 415-424. https://doi.org/10.1016/j.frl.2018.12.004
Akbalik, M. & Tunay, K.B. (2016). An analysis of Ramadan effect by GJR-GARCH model: case of Borsa Istanbul. Oeconomia Copernicana 7(4), 593-612. https://doi.org/10.12775/OeC.2016.033
Akbar, S., Saba, T., Bahaj, S.A., Inshal, M. & Khan, A. R. (2023) Forecasting Volatility in Generalized Autoregressive Conditional Heteroscedastic (GARCH) Model with Outliers. Journal of Advances in Information Technology, 14(2), 311-318. https://doi.org/10.12720/jait.14.2.311-318
Ardia, D. & Hoogerheide, L.F. (2010). Efficient Bayesian estimation and combination of GARCH-Type models. En: Böcker, K. (Ed.), Rethinking risk measurement and reporting: examples and applications from finance, vol II, cap 1. Londres: RiskBooks. https://ssrn.com/abstract=1542253
Ausín, M. C., Galeano, P. & Ghosh, P. (2014). A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. European Journal of Operational Research, 232(2), 350-358. https://doi.org/10.1016/j.ejor.2013.07.008
Bahcivan, H. & Karahan, C.C. (2022). High frequency correlation dynamics and day-of-the-week effect: a score-driven approach in an emerging market stock exchange. International Review of Financial Analysis, 80. https://doi.org/10.1016/j.irfa.2021.102008
Bauwens, L. & Lubrano, M. (2002). Bayesian option pricing using asymmetric GARCH models. Journal of Empirical Finance, 9(3), 321-342. https://doi.org/10.1016/S0927-5398(01)00058-5
Berument, H. & Kiymaz, H. (2001). The day of the week effect on stock market volatility. Journal of Economics and Finance, 25(2), 181-193. https://doi.org/10.1007/BF02744521
Betancourt, M. (2018). A conceptual introduction to Hamiltonian Monte Carlo. arXiv:1701.02434. https://doi.org/10.48550/arXiv.1701.02434
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
Brusa, J., Liu, P. & Schulman, C. (2000). The weekend effect, ‘reverse’ weekend effect, and firm size. Journal of Business Finance & Accounting, 27(5-6), 555-574. https://doi.org/10.1111/1468-5957.00325
Cardona M., J. C. (2024). La integración del mercado bursátil latinoamericano: una revisión sistemática de la literatura. Revista Finanzas y Política Económica, 16(2), 317-353. https://doi.org/10.14718/revfinanzpolitecon.v16.n2.2024.1
Carpenter, B,, Gelman, A., Hoffman, M.D., Lee, D., Goodrich, B., Betancourt, M., Brubaker, M., Guo J., Li, P. & Riddell, A. (2017). Stan: a probabilistic programming language. Journal of Statistical Software, 76(1), 1-32. https://doi.org/10.18637/jss.v076.i01
Chang, E.C., Pinegar, J.M. & Ravichandran, R. (1998). US day-of-the-week effects and asymmetric responses to macroeconomic news. Journal of Banking & Finance, 22(5), 513-534. https://doi.org/10.1016/S0378-4266(98)00023-5
Chatzitzisi, E., Fountas, S. & Panagiotidis, T. (2021). Another look at calendar anomalies. The Quarterly Review of Economics and Finance, 80, 823-840. https://doi.org/10.1016/j.qref.2019.04.001
Chen, H. & Singal, V. (2003). Role of speculative short sales in price formation: the case of the weekend effect. The Journal of Finance, 58(2), 685-705. http://www.jstor.org/stable/3094554
Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69. https://www.jstor.org/stable/4529641
Defusco, R.A., McCabe, G.M. & Yook, K.C. (2006). Day of the week effects: a test of the information timing hypothesis. Journal of Business Finance & Accounting, 20(6), 835-842. https://doi.org/10.1111/j.1468-5957.1993.tb00296.x
Dyl, E.A. & Maberly, E.D. (1988). A possible explanation of the weekend effect. Financial Analysts Journal, 44(3), 83-84. https://doi.org/10.2469/faj.v44.n3.83
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
Fama, E.F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105. https://www.jstor.org/stable/2350752
Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(3), 383-417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
Farber, M.L. (1953). Time-perspective and feeling-tone: a study in the perception of the days. The Journal of Psycholy, 35(2), 253-257. https://doi.org/10.1080/00223980.1953.9712859
Fields, M.J. (1931). Stock prices: a problem in verification. The Journal of Business of the University of Chicago, 4(4), 415-418. http://www.jstor.org/stable/2349652
French, K.R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69. https://doi.org/10.1016/0304-405X(80)90021-5
García, D.A. & Rosso, J. (2016). Efectos estacionales en los mercados de capitales de la alianza del Pacífico. Estudios Gerenciales, 32(141), 358-368. https://doi.org/10.1016/j.estger.2016.10.002
Gayaker, S., Yalcin, Y. & Berument, M.H. (2020). The day of the week effect and interest rates. Borsa Istanbul Review, 20(1), 55-637. https://doi.org/10.1016/j.bir.2019.07.010
Gelman, A., Carlin, J.B., Stern, H.S., Dunson, D.B., Vehtari, A. & Rubin, D.B. (2013). Bayesian data Analysis, 3rd ed. Nueva York: Chapman and Hall/CRC. https://doi.org/10.1201/b16018
Glosten, L.R., Jagannthan, R. & Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Goldman, E. (2023). Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. Finance Research Letters, 56. https://doi.org/10.1016/j.frl.2023.104028
Grennan, J. & Michaely, R. (2021). FinTechs and the market for financial analysis. Journal of Financial and Quantitative Analysis, 56(6), 1877-1907. https://doi.org/10.1017/S0022109020000721
Gu ,A.Y. (2004). The reversing weekend effect: evidence from the U.S. equity markets. Review of Quantitative Finance and Accounting, 22, 5-14. https://doi.org/10.1023/B:REQU.0000006183.42549.50
Gutierres P., H. & Garrido S., M.O. (2024). Análisis de la eficiencia del mercado de acciones chileno. Revista Finanzas y Política Económica 16(1). 17-45. https://doi.org/10.14718/revfinanzpolitecon.v16.n1.2024.2
Habel, C. & Lockshin, L. (2013). Realizing the value of extensive replication: A theoretically robust portrayal of double jeopardy. Journal of Business Research, 66(9), 1448-1456. https://doi.org/10.1016/j.jbusres.2012.05.012
Hansen, P.R., Lunde, A. & Nason, J.M. (2005). Testing the significance of calendar effects. Federal Reserve Bank of Atlanta Working Paper No. 2005-02. https://doi.org/10.2139/ssrn.388601
Hirsch, Y. (1986). Don’t sell stocks on Monday. Nueva York: Facts On File.
Hoogerheide, L.F., Ardia, D. & Corré, N. (2012). Density prediction of stock index returns using GARCH models: frequentist or Bayesian estimation?. Economics Letters, 116(3), 322-325. https://doi.org/10.1016/j.econlet.2012.03.026
International Monetary Fund. (2024). Global financial stability report, October 2024 - Steadying the course: uncertainty, artificial intelligence, and financial stability. https://www.imf.org/en/Publications/GFSR/Issues/2024/10/22/global-financial-stability-report-october-2024
Jensen, M.J. & Maheu, J.M. (2013). Bayesian semiparametric multivariate GARCH modeling. Journal of Econometrics, 176(1), 3-17. https://doi.org/10.1016/j.jeconom.2013.03.009
Kamara, A. (1997). New evidence on the Monday seasonal in stock returns. The Journal of Business, 70(1), 63-84. https://www.jstor.org/stable/2353481
Kayacetin, V. & Lekpek S (2016). Turn-of-the-month effect: new evidence from an emerging stock market. Finance Research Letters, 18, 142-157. https://doi.org/10.1016/j.frl.2016.04.012
Kelly, F.C. (1930). Why you win or lose: the psychology of speculation. Houghton Mifflin, Boston.
Kiymaz, H. & Berument, H. (2003). The day of the week effect on stock market volatility and volume: international evidence. Review of Financial Economics, 12(4), 363-380. https://doi.org/10.1016/S1058-3300(03)00038-7
Kostyk, A., Zhou, W. & Hyman, M. R. (2019). Using surveytainment to counter declining survey data quality. Journal of Business Research, 95, 211-219. https://doi.org/10.1016/j.jbusres.2018.10.024
Kristjanpoller, W. (2009). An analysis of the day-of-the-week effect in Latin American stock markets. Lecturas de Economía, 71, 189-207. http://www.scielo.org.co/scielo.php?pid=S0120-25962009000200007&script=sci abstract
Kristjanpoller, W. (2012). Day of the week effect in Latin American stock markets. Revista de análisis económico, 27(1), 71-89. https://doi.org/10.4067/S0718-88702012000100004
Lee, K., Jeong, Y., Joo, S., Yoon, Y. S., Han, S. & Baik, H. (2022) Outliers in financial time series data: Outliers, margin debt, and economic recession. Machine Learning with Applications, 10. https://doi.org/10.1016/j.mlwa.2022.100420
Leys, C., Ley, C. Klein, O., Bernard, P. & Licata, L. (2013). Detecting Outliers: Do not use standard deviation around the mean, use absolute deviation around the median. Journal of Experimental Social Psychology, 49(4), 764-766. https://doi.org/10.1016/j.jesp.2013.03.013
Li, D., Clements, A. & Drovandi, C. (2021). Efficient Bayesian estimation for GARCH type models via sequential Monte Carlo. Econometrics and Statistics, 19, 22-46. https://doi.org/10.1016/j.ecosta.2020.02.002
Li, Y., Mallick, S.K., Wang, N., Yu, J. & Zeng, T. (2024). Deviance information criterion for model selection: theoretical justification and applications. Working Papers from University of Macau, Faculty of Business Administration No 202415. https://fba.um.edu.mo/wp-content/uploads/RePEc/doc/202415.pdf
Liang, R., Qin, B. & Xia, Q. (2024). Bayesian inference for mixed Gaussian GARCH type model by Hamiltonian Monte Carlo algorithm. Computational Economics, 63, 193-220. https://doi.org/10.1007/s10614-022-10337-4
McGowan, C.B. & Ibrihim, I. (2009). An analysis of the day-of-the-week effect in the Russian stock market. International Business & Economics Research Journal, 8(9), 25-30. https://doi.org/10.19030/iber.v8i9.3165
Mehdian, S. & Perry, M.J. (2001). The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance & Accounting, 28(7-8), 1043-1065. https://doi.org/10.1111/1468-5957.00404
Miazhynskaia, T. & Dorffner, G. (2006). A comparison of Bayesian model selection based on MCMC with an application to GARCH-Type models. Statistical Papers, 47, 525-549. https://doi.org/10.1007/s00362-006-0305-z
Miazhynskaia, T., Frühwirth-Schnatter, S. & Dorffner, G. (2006). Bayesian testing for non-linearity in volatility modeling. Computational Statistics & Data Analysis, 51(3), 2029.2042. https://doi.org/10.1016/j.csda.2005.12.014
Neal, R.M. (2012). MCMC using Hamiltonian dynamics. En Brooks. S., Gelman, A., Jones, G. & Meng, X.L. (Eds.). Handbook of Markov Chain Monte Carlo, 1st ed. cap 5. Nueva York: Chapman and Hall/CRC. https://doi.org/10.1201/b10905
Paital, R.R. & Panda, A.K. (2018). Day of the week and weekend effects in the Indian stock market. Theoretical Economics Letters, 08(11), 2559-2568. https://doi.org/10.4236/tel.2018.811164
Paixão, R.S. & Ehlers, R.S. (2017). Zero variance and Hamiltonian Monte Carlo methods in GARCH models. arXiv:1710.07693. https://doi.org/10.48550/arXiv.1710.07693
Peña, D.R., Ortiz, J.D. & Espitia, H.E. (2015). Análisis del efecto-día en el mercado accionario Colombiano empleando mapas autoorganizados. ITECKNE Innovación e Investigación en Ingeniería, 12(1), 84-94 . https://doi.org/10.15332/iteckne.v12i1.825
Pérez, J. & Mendoza, J.C. (2010). Efecto día en el mercado accionario Colombiano: una aproximación no paramétrica. Borradores de Economía 585, Banco de la República de Colombia. https://www.banrep.gov.co/es/efecto-dia-el-mercado-accionario-colombiano-aproximacion-no-parametrica
Pettengill, G.N. (1993). An experimental study of the blue-Monday hypothesis. The Journal of Socio-Economics, 22(3), 241-257. https://doi.org/10.1016/1053-5357(93)90011-9
Plummer, M. (2008). Penalized loss functions for Bayesian model comparison. Biostatistics, 9(3), 523-539. https://doi.org/10.1093/biostatistics/kxm049
Proietti, T. & Grassi, S. (2012). Bayesian stochastic model specification search for seasonal and calendar effects. MPRA Paper 27305. https://mpra.ub.uni-muenchen.de/27305/
Rathnaweera, H.K.R. & Silva, R.M. (2023). A Bayesian network analysis of calendar effects in the Colombo stock exchange. Sri Lankan Journal of Applied Statistics, 24(3), 95-107. https://doi.org/10.4038/sljastats.v24i3.8095
Shah, S.M.M. & Abdullah, F. (2015). A study of day of the week effect in Karachi stock exchange during different political regimes in Pakistan. Business & Economic Review, 7(1), 41-66. https://doi.org/10.22547/BER/7.1.3
Shehadeh, A.A. & Zheng, M. (2023). Calendar anomalies in stock market returns: evidence from Middle East countries. International Review of Economics & Finance, 88, 962-980. https://doi.org/10.1016/j.iref.2023.07.013
Spiegelhalter, D.J., Best, N.G., Carlin, B.P. & Van Der Linde, A. (2002). Bayesian measures of model complexity and fit. Journal of the Royal Statistical Society Series B: Statistical Methodology, 64(4), 583-639. https://doi.org/10.1111/1467-9868.00353
Srinivasan, P. & Kalaivani, M. (2013). Day-of-the-week effects in the Indian stock market. MPRA Paper 46805. https://mpra.ub.uni-muenchen.de/46805/
Stan Development Team (2024). Stan modeling language users guide and reference manual, VERSION 2.35. https://mc-stan.org
Stavarek ,D. & Heryan, T. (2012). Day of the week effect in Central European stock markets. MPRA Paper 38431. https://mpra.ub.uni-muenchen.de/38431/
Swinkels L, van Vliet P (2012). An anatomy of calendar effects. Journal of Asset Management, 13(4), 271-286. https://doi.org/10.2139/ssrn.1593770
Szymanski, M. & Wojtalik, G. (2020) Calendar effects in the stock markets of Central European countries. Acta Universitatis Lodziensis, Folia Oeconomica 5(350):27-51. https://doi.org/10.18778/0208-6018.350.02
Torres, C.A. (2010). Efecto del fin de semana y los festivos en los mercados de acciones. Un estudio comparativo entre Chile, Brasil, México y Colombia. Master’s Thesis, Universidad Icesi, Cali. https://repository.icesi.edu.co/biblioteca digital/bitstream/10906/67732/1/mercados acciones.pdf
Ülkü, N. & Rogers, M. (2018). Who drives the Monday effect?. Journal of Economic Behavior & Organization, 148, 46-65. https://doi.org/10.1016/j.jebo.2018.02.009
Urquhart, A. & McGroarty, F. (2014). Calendar effects, market conditions and the adaptive market hypothesis: evidence from long-run U.S. data. International Review of Financial Analysis, 35,154-166. https://doi.org/10.1016/j.irfa.2014.08.003
van der Linde, A. (2005). DIC in variable selection. Statistica Neerlandica, 59(1), 45-56. https://doi.org/10.1111/j.1467-9574.2005.00278.x
Vehtari, A., Gelman, A. & Gabry, J. (2017). Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. Statistics and Computing, 27(5), 1413-1432. https://doi.org/10.1007/s11222-016-9696-4
Virbickaite, A., Ausín, M.C. & Galeano, P. (2015). Bayesian inference methods for univariate and multivariate GARCH models: a survey. Journal of Economic Surveys, 29(1), 76-96. https://doi.org/10.1111/joes.12046
Virbickaite, A., Ausín, M.C. & Galeano, P. (2016). A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. Computational Statistics & Data Analysis, 100, 814-829. https://doi.org/10.1016/j.csda.2014.12.005
Vrontos, I.D., Dellaportas, P. & Politis, D.N. (2000). Full Bayesian inference for GARCH and EGARCH models. Journal of Business & Economic Statistics, 18(2), 187-198. https://doi.org/10.2307/1392556
Watanabe, S. (2010). Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory. Journal of Machine Learning Research, 11(116):3571-3594. http://jmlr.org/papers/v11/watanabe10a.html
Zanello, L. (2012). El efecto día en cinco índices bursátiles de América Latina. Documentos Departamento de Economía 18081, Universidad del Norte. https://www.uninorte.edu.co/documents/16008436/0/Docs+34.pdf/ac389678-431f-bf39-ead2-c1c739340fe1?t=1654202037494
Zhang, J., Lai, Y. & Lin, J. (2017). The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, 47-62. https://doi.org/10.1016/j.frl.2016.09.006
Zilca, S. (2017). The Evolution and Cross-Section of the Day-of-the-Week Effect. Financial Innovation, 3(29), 47-62. https://doi.org/10.1186/s40854-
