The calendar year is splitted into 52 weeks and it is analyzed the return in each week. Each week of the year is composed by 7 days, starting from the WOY n°1 that goes from January 1st to January 7th included.
In their paper, T. Levy and J. Yagil, “The week-of-the-year effect: Evidence from around the globe” they present 2 weeks characterized by an anomaly in return in most of world stock indices, the weeks 43 and 44.
“Using the weekly returns on the stock market indexes of 20 countries worldwide, for a period that ends in December 2010, found that returns in Week 44, which starts on October 29 and ends on November 4, are positive in 19 of the 20 countries, and in 18 of them, it is also statistically signiﬁcant. In contrast, the returns for Week 43, which starts on October 22 and ends on October 28, are negative in 19 of the 20 countries, and statistically signiﬁcant for most of the countries.
For Week 44, the mean return across all 20 countries (2.27%) is more than 10 times larger than the corresponding mean for all other weeks (0.21%). In Week 43 the mean return across all countries (-1.34%) is far below the corresponding mean return of all other weeks (0.21%).
We also ﬁnd that as the distance of the country from the equator increases, the signiﬁcance level of both Week 43’s negative performance and Week 44’s positive performance increases (in other words, the P-value is lower). This ﬁnding seems consistent with both the MTO and SAD anomalies.”
They say that results seem to be consistent with MTO (May to October), TOW (Turn of the Winter) and SAD (Seasonal Affective Disorder) anomalies. Anomalies of weeks 43 and 44 should be explained by the daylight change, which should increase seasonal disorder. It occurs in US every year in a slightly different date, between October 28th and November 6th.
The incoherent thing about this explanation is that every year the daylight shift date is different, while the timespan of the weeks n° 43 and n° 44 are the same every year. About SAD disorder, a later sunset could be the cause of the improvement in mood. It should be verified if, taking the exact daylight shift date instead of fixed dates, results may be even more precise and explanatory.
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