Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets
Studies in Economics and Finance
ISSN: 1086-7376
Article publication date: 26 April 2023
Issue publication date: 25 January 2024
Abstract
Purpose
This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.
Design/methodology/approach
To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.
Findings
Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.
Practical implications
The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.
Originality/value
To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.
Keywords
Acknowledgements
The author would like to thank two anonymous reviewers for many helpful comments.
Citation
Steinborn, M. (2024), "Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets", Studies in Economics and Finance, Vol. 41 No. 1, pp. 102-124. https://doi.org/10.1108/SEF-12-2021-0517
Publisher
:Emerald Publishing Limited
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