Abstract
ABSTRACT This paper suggests new evidence for the recent surge of the day-of-the-week effect on market volatility after a stock market shock. Using global market indices, this study revisits the day-of-the-week effect on market volatility and provides the first evidence of Tuesday’s low volatility after the COVID-19 shock. We also find no evidence of a day-of-the-week volatility effect from the analysis of the pre-COVID-19 period. Overall, our results provide implications for the investment decision-making and risk management of portfolio managers after a market shock.
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