The Monthly Effect and the Day of the Week Effect in the American Stock Market

Abstract

This paper examine the recent evolution of seasonal anomalies in the American stock market. This study was based on daily data from the Russell 3000 index over the 2000-2015 period. We examine the recent evolution of the week effect and the monthly effect, and we investigate seasonal patterns in economically favourable times and unfavourable times. We use a UCM model and ARCH model. We find evidence for fixed seasonality with a positive and significant monthly effect. Our study confirms January and December effects to the values of the Russell 3000 index, but we don’t find evidence of the day of the week effect.