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
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.