Day-of-week effect on the Paris Bourse

L. Bousquet, B. SOLNIK

Journal of Banking and Finance

1990, vol. 14, pp.461-469

Départements : Finance

We present evidence on the day-of-the-week effect on a stock market with a particular settlement procedure: the Paris Bourse. A strong and persistent negative return is found on Tuesdays. A similar result was previously found for Japan and Australia. The settlement procedure is shown to have an effect on the distribution of daily returns consistent with forward pricing theory; it cannot explain the negative Tuesday return. After adjusting for this settlement effect, the mean return on Mondays is the largest in the week, a result at odds with the evidence in the U.S.A