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The Day-of-the-Week effect at Oslo stock exchange : examining the presence of, and explanations for, the Day-of -the-Week effect in Norway from 2000 to 2019

Flostrand, Håvard; Fløgstad, Eirik
Master thesis
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URI
https://hdl.handle.net/11250/2678733
Date
2020
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  • Master Thesis [3749]
Abstract
We study the Day-of-the-Week effect in the Norwegian securities market from 2000 to 2019,

in which we examine whether daily returns are lower on Monday and higher on Friday than

the other days of the week. We find evidence suggesting that such an anomaly does exist, in

which Monday returns are 0.059 percentage points lower, and Friday returns are 0.23

percentage points higher than the other days of the week. We further test whether this

phenomenon can be explained by differences in calendar settlement time, changes in investor

sentiment or speculative short seller activity. Our findings suggest that increased investor

sentiment from Thursday to Friday, as well as the closing of speculative short positions on

Fridays, may contribute to the Day-of-the-Week effect in the Norwegian securities market.

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