Day-of-the-week effect: Evidence from the nine economic sectors of the JSE

Abstract

This study is the first in South Africa to test directly for the day-of-the-week effect on skewness and kurtosis on the nine listed economic stock market sector indices of the JSE. The empirical results of this study show no evidence of the day-of-the-week effect on skewness and kurtosis for eight of the nine JSE stock market sectors. However, the Monday effect was detected for the basic materials sector only. The study also finds the JSE to be weak-form efficient.