13. Mar 2019
In the Seasonal Insights issue of 13 February 2019 I presented a study illustrating the power of intraweek effects. The article was entitled “S&P 500 Index: A Single Day Beats the Entire Week!”
The result of the study: if one had been invested exclusively during a single day of the week since 2000 – namely on Tuesday – one would have outperformed a buy and hold strategy, beating the broad market.
Moreover, one would have achieved opportunity gains, as it would have been possible to invest in other profitable assets over the remaining 80% of the time.
But what is the situation on the global level? Perhaps there are intraweek profit opportunities in international markets as well.
Putting the 10 Largest Countries to the Intraweek Test
Today I want to examine whether intraweek effects can be detected in the stock markets of other countries as well, and what they actually look like.
For this purpose I have used the benchmark stock indexes of the ten largest countries in terms of market capitalization from the year 2000 onward.
The charts below show the average weekly patterns of the stock markets of all ten countries. The annualized performance of the stock markets of the respective countries since the turn of the millennium is depicted in black and that of individual days of the week in blue.
Daily changes are measured from close to close; thus the performance of e.g. Tuesday is the average return delivered from the close of trading on Monday until Tuesday's close.
Canada: performance by days of the week, 2000 until 2/2019
Only two days of the week delivered a significant positive return.
France: performance by days of the week, 2000 until 2/2019
Three days of the week outperform the overall market by themselves!
Germany: performance by days of the week, 2000 until 2/2019
All days of the week except Wednesday exhibit a positive performance.
Hong Kong: performance by days of the week, 2000 until 2/2019
Friday alone outdistances the average gain of the entire “buy and hold” period.
India: performance by days of the week, 2000 until 2/2019
India is the only country in which all weekdays exhibit a positive return!
Japan: performance by days of the week, 2000 until 2/2019
Tuesday is an absolutely terrible day in Japan.
Korea: performance by days of the week, 2000 until 2/2019
In nearby Korea, Monday stands out negatively.
Taiwan: performance by days of the week, 2000 until 2/2019
Monday in Taiwan is the weakest individual weekday of the entire review.
UK: performance by days of the week, 2000 until 2/2019
Buying at the close on Wednesday and selling at the close on Friday every week would have beaten the return of the overall market by miles.
US: performance by days of the week, 2000 until 2/2019
Friday is on average the weakest day by a significant margin, while Tuesday handily beats the rest of the week.
As you can see, investors would have been able to boost their gains in all countries - partly quite substantially (with the exception of India) - if they had been invested in certain specific, but not on all days of the week.
In These Countries One Day Outperforms the Whole Week
However, it can also be seen that in six of the ten largest stock markets there is at least one day which beats the return of the week as a whole.
Interestingly, these are often different days. In the following countries one or more days outperform the entire week:
- France - Thursday
- Hong Kong - Friday
- Japan - Monday, Wednesday
- Taiwan - Wednesday, Thursday, Friday
- UK - Tuesday, Thursday, Friday
- US - Tuesday
In these six countries an investor could have beaten the market benchmark by means of simply being invested during a single day of the week.
Moreover, as the overview indicates, it’s not always the same weekday that stands out. In fact, every day of the week from Monday to Friday actually appears on the list.
Interestingly, global intraweek effects are therefore relatively independent of each other, despite the fact that these stock markets generally exhibit a strong positive correlation.
Regardless of whether you are a day trader or a long-term investor, useful effects exist in all sorts of different timeframes!