What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an investment decision on Monday)?

If so do weekly returns form Monday to Monday differ from returns from Tuesday to Tuseday? Are the latter in general less volatile than the former due to such effects? What other stylized facts are there? In which markets (stock, bonds, currency)?

I am looking for experiences but underpinned with references from the literature.


2 Answers 2


You can find a good overview here:

Seasonal Anomalies by Ziemba, W.; Dzahabarov, C.


This chapter is a survey of seasonal anomalies. Ziemba has been involved in the re- search and trading of such anomalies as the January turn-of-the-year effect since 1982. His research plus that of other academics plus the very useful practitioner research of Yale Hirsch’s Stock Trader’s Almanac starting in 1972 is reviewed. (We academics reference Hirsch but the Hirsches operate in a closed economy, not referencing others.) The discussion begins with an assessment of why the seasonal anomalies are so controversial but valuable and discusses some survey papers and books. Then beginning with the seminal anomaly, the January small firm effect, we discuss various other anomalies and their use in strategies including the construction of seasonality calendars that rank the various trading days of the year. The treatment is selective not exhaustive of this huge topic and does not cover all topics such as weekend and daily effects.

Another interesting paper, which investigates seasonality in factors, is the following:

Seasonalities in Anomalies by Bogousslavsky, V.


I investigate seasonalities in a set of well-known anomalies in the cross-section of U.S. stock returns. A January seasonality goes beyond a size effect and strongly affects most anomalies. For several anomalies, the long-short portfolio return switches sign in January. In addition, return seasonality exists outside of January depending on the month of the quarter. These results have implications for the interpretation of several anomalies, such as asset growth, idiosyncratic volatility, illiquidity, and momentum.

A whole bunch of papers (and their summaries when you are a subscriber) can be found here: http://www.cxoadvisory.com/calendar-effects/

Because you are especially interested in day-of-the-week effects:

The analysis "Any Recent Day-of-the-Week Anomalies?" concludes:

In summary, evidence from simple tests on recent data offers little support for belief in exploitable day-of-the-week anomalies in U.S. stock market returns.

Concerning day-of-the-week effects in the VIX:

Day of the Week Effect on VIX: A Parsimonious Representation by Gonzalez-Perez, M.; Guerrero, D.


The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given the isomorphism between the trigonometrical and alternative seasonality representations (i.e. daily dummies) it is possible to test daily seasonal patterns employing a trigonometrical representation based on a finite sum of weighted sines and cosines. We find a potential evolutive seasonal pattern in the daily VIX that is not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in VIX level and changes, and a U-shaped seasonal pattern in VIX changes when we control for outliers. The trigonometrical representation is more robust to outliers than the one commonly used by the literature, but it is not immune to them. Finally, we do not find a day-of-the-week effect in S&P 500 returns series, what suggests the presence of a deterministic seasonal pattern in the relation between VIX and S&P 500 returns.

  • $\begingroup$ Hi, thanks for the references. Do they also cover patters during the week? $\endgroup$
    – Richi Wa
    Jun 18, 2015 at 14:00
  • $\begingroup$ @Richard: Yes, you find it e.g. in chapter 6 of the first paper (p. 35 f.) but it should be relatively easy to do these types of analyses. $\endgroup$
    – vonjd
    Jun 18, 2015 at 14:06
  • 2
    $\begingroup$ There's a legend that says if you nominate "anomalies", @vonjd will appear. You're like a living library, man! I would like to know the half you know :) $\endgroup$
    – Quantopik
    Jun 18, 2015 at 14:14
  • 1
    $\begingroup$ @Richard: See my edit. $\endgroup$
    – vonjd
    Jun 18, 2015 at 14:17
  • 1
    $\begingroup$ @Quantopic: Thank you, this is very kind of you :-) $\endgroup$
    – vonjd
    Jun 18, 2015 at 14:18

In my humble opinion, the most volatile day during the week should be monday, since it is the day that incorporates the greater number of information that are still not incorporated by the price, but I never tested by myself, so, as you suggested monday-to-monday returns should be different from tuesday-to-tuesday.

The literature suggests different solution for returns and volatility to your question; as regards the stock market, I think it should be useful to read:

Berument, Hakan, and Halil Kiymaz. "The day of the week effect on stock market volatility." Journal of economics and finance 25.2 (2001): 181-193.

It analyze the US stock returns by using a simple OLS regression model with dummies to model the mkt behaviour in particular days and reporting that Monday and Friday exhibit particular patterns on average; particularly, Monday exhibits slightly negative returns, while Friday positive on average. The paper could be useful as starting point, but not applicable because, according to me, it is not statistically robust.

Instead, there are more interesting results for volatility.


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