The evolution of the day-of-the-week effect and the implications in the crude oil market
The movement of prices in the crude oil market are important to the international economy and financial asset returns. Day-of- the-week effect is a great challenge to the market's effectiveness. We examine the evolution of day-of-the-week and investigate its implications based on the West Texas...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Elsevier BV
2022
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| Online Access: | http://psasir.upm.edu.my/id/eprint/95435/ http://psasir.upm.edu.my/id/eprint/95435/1/The%20evolution%20of%20the%20day-of-the-week%20effect%20and%20the%20implications%20in%20the%20crude%20oil%20market%20%20.pdf |
| _version_ | 1848862159312781312 |
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| author | Li, Wenhui Zhu, Qi Wen, Fenghua Mohd Nor, Normaziah |
| author_facet | Li, Wenhui Zhu, Qi Wen, Fenghua Mohd Nor, Normaziah |
| author_sort | Li, Wenhui |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The movement of prices in the crude oil market are important to the international economy and financial asset returns. Day-of- the-week effect is a great challenge to the market's effectiveness. We examine the evolution of day-of-the-week and investigate its implications based on the West Texas Intermediate crude oil return from 14 May 2007 to 14 May 2021. We have obtained convincing findings that there is abnormal positive return on Wednesdays because the inventory shock schedule. Abnormal negative return on Mondays disappears sometimes, because bad sentiment is not the only decisive factor, as it is also determined by reactions to good sentiment. The results provide implication for the day-of-the-week effect and new evidence that crude oil market's efficiency changes over time. Policy makers, investors and producers can benefit from this. |
| first_indexed | 2025-11-15T13:12:35Z |
| format | Article |
| id | upm-95435 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T13:12:35Z |
| publishDate | 2022 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-954352023-01-04T09:01:13Z http://psasir.upm.edu.my/id/eprint/95435/ The evolution of the day-of-the-week effect and the implications in the crude oil market Li, Wenhui Zhu, Qi Wen, Fenghua Mohd Nor, Normaziah The movement of prices in the crude oil market are important to the international economy and financial asset returns. Day-of- the-week effect is a great challenge to the market's effectiveness. We examine the evolution of day-of-the-week and investigate its implications based on the West Texas Intermediate crude oil return from 14 May 2007 to 14 May 2021. We have obtained convincing findings that there is abnormal positive return on Wednesdays because the inventory shock schedule. Abnormal negative return on Mondays disappears sometimes, because bad sentiment is not the only decisive factor, as it is also determined by reactions to good sentiment. The results provide implication for the day-of-the-week effect and new evidence that crude oil market's efficiency changes over time. Policy makers, investors and producers can benefit from this. Elsevier BV 2022-01-05 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/95435/1/The%20evolution%20of%20the%20day-of-the-week%20effect%20and%20the%20implications%20in%20the%20crude%20oil%20market%20%20.pdf Li, Wenhui and Zhu, Qi and Wen, Fenghua and Mohd Nor, Normaziah (2022) The evolution of the day-of-the-week effect and the implications in the crude oil market. Energy Economics, 106. pp. 1-10. ISSN 0140-9883 https://www.sciencedirect.com/science/article/pii/S014098832200007X?via%3Dihub 10.1016/j.eneco.2022.105817 |
| spellingShingle | Li, Wenhui Zhu, Qi Wen, Fenghua Mohd Nor, Normaziah The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title | The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title_full | The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title_fullStr | The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title_full_unstemmed | The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title_short | The evolution of the day-of-the-week effect and the implications in the crude oil market |
| title_sort | evolution of the day-of-the-week effect and the implications in the crude oil market |
| url | http://psasir.upm.edu.my/id/eprint/95435/ http://psasir.upm.edu.my/id/eprint/95435/ http://psasir.upm.edu.my/id/eprint/95435/ http://psasir.upm.edu.my/id/eprint/95435/1/The%20evolution%20of%20the%20day-of-the-week%20effect%20and%20the%20implications%20in%20the%20crude%20oil%20market%20%20.pdf |