@article{ART003225218},
author={Junho Hwang and Eunyoung Cho},
title={Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks},
journal={Asset Management Review},
issn={2288-6672},
year={2025},
volume={13},
number={1},
pages={19-46}
TY - JOUR
AU - Junho Hwang
AU - Eunyoung Cho
TI - Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks
JO - Asset Management Review
PY - 2025
VL - 13
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 19
EP - 46
SN - 2288-6672
AB - This study investigates the day-of-the-week effect on volatility, estimated using an EWMA approach, in the Korean stock market (KOSPI) and its industrial sectors under the external shock of the COVID-19 pandemic. Analyzing data from January 2000 to February 2025, we find that weekday-based volatility differences are negligible in normal periods. However, during the early phase of the pandemic (March–December 2020), a pronounced “Tuesday’s low-volatility pattern” emerges. This effect is more evident in shock-sensitive sectors—such as finance, insurance, banking, and electronics—and is further reinforced for industries with higher maximum drawdowns (MDD) at the onset of COVID-19. The results imply that a steep rise in Monday’s volatility followed by a sharp drop on Tuesday can lead to missed or delayed alerts in risk management systems relying on a “consecutive exceedance” criterion. Consequently, effective monitoring of day-specific volatility and sector-oriented risk strategies becomes increasingly critical under prolonged external shocks.
KW - day-of-the-week effect;Tuesday low-volatility;COVID-19 pandemic;EWMA;Institutional Investors
DO -
UR -
ER -
Junho Hwang and Eunyoung Cho. (2025). Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks. Asset Management Review, 13(1), 19-46.
Junho Hwang and Eunyoung Cho. 2025, "Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks", Asset Management Review, vol.13, no.1 pp.19-46.
Junho Hwang, Eunyoung Cho "Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks" Asset Management Review 13.1 pp.19-46 (2025) : 19.
Junho Hwang, Eunyoung Cho. Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks. 2025; 13(1), 19-46.
Junho Hwang and Eunyoung Cho. "Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks" Asset Management Review 13, no.1 (2025) : 19-46.
Junho Hwang; Eunyoung Cho. Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks. Asset Management Review, 13(1), 19-46.
Junho Hwang; Eunyoung Cho. Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks. Asset Management Review. 2025; 13(1) 19-46.
Junho Hwang, Eunyoung Cho. Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks. 2025; 13(1), 19-46.
Junho Hwang and Eunyoung Cho. "Day-of-the-Week Effects on Industry-Specific Volatility After Market Shocks" Asset Management Review 13, no.1 (2025) : 19-46.
