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

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.