Day-of-the-week effect on stock market returns, volatility, and skewness

The day-of-the-week effect—characterised by lower expected returns (mean) on Mondays and higher Monday volatility (conditional variance) compared to on Fridays–is a well-documented regularity in stock markets. In this paper, we examine the effect of the day-of-the-week on the distribution of returns for its symmetry (skewness). To achieve this, we analyse the five leading stock indicators in the US markets from 1928 to 2023. We document lower (and negative) conditional skewness on Mondays and the results are robust. This implies that frequent small gains and occasional significant losses are more probable on Mondays than on Fridays.