A new look at calendar anomalies: Multifractality and day of the week effect

TL;DR

This study investigates calendar anomalies in stock markets by applying multifractal analysis to daily returns, revealing distinct multifractal properties for different days of the week, especially during financial crises.

Contribution

It introduces the use of multifractal detrended fluctuation analysis to explore day-of-the-week effects in market return dynamics from an econophysics perspective.

Findings

Monday returns show higher persistence and multifractality.

Multifractality arises from both probability distribution and correlations.

During crises, Monday's multifractal spectrum widens significantly.

Abstract

Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use multifractal analysis to evaluate if the temporal dynamics of market returns also exhibits calendar anomalies such as day-of-the-week effects. We apply the multifractal detrended fluctuation analysis (MF-DFA) to daily returns of market indices around the world for each day of the week. Our results indicate that individual days of the week are characterized by distinct multifractal properties. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises both from a broad probability density function and from long-term correlations. From the time-dependent multifractal analysis we find that multifractal spectra for Monday returns are much wider than for other days during periods of financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies from an econophysics perspective.