This paper explores how intra-day volatility behaves across different weekdays during periods of major financial stress, focusing specifically on the S&P 500 and NASDAQ-100 indices. The analysis spans two significant market disruptions—the 2008 Global Financial Crisis and the 2020 COVID-19 crash—using one-minute interval data to capture short-term fluctuations. The study applies both parametric and non-parametric statistical techniques to examine whether patterns such as weekday volatility differences and the Monday effect persist, diminish, or shift under varying market regimes. The results indicate that while weekday-based volatility differences are less pronounced during crash and recovery periods, they re-emerge post-crisis, particularly in the S&P 500 index. Mondays typically display lower volatility, whereas Fridays often exhibit heavier tails in their distribution. A weak but statistically meaningful correlation was found between weekday order and volatility, suggesting a slight upward trend in volatility toward the end of the week. These findings contribute to the understanding of temporal risk dynamics and provide useful context for volatility modeling, especially in post-crisis environments where behavioral patterns may return to more predictable rhythms.

Keywords - Intra-day volatility, Calendar Anomalies, Monday Effect, Financial Crisis, Volatility Patterns, High Frequency Trading

[1] K. Chan, K. C. Chan, and G. A. Karolyi, “Intraday volatility in the stock index and stock index futures markets,” The Review of Financial Studies, vol. 4, no. 4, pp. 657–684, 1991.

[2] F. Cross, “The behavior of stock prices on fridays and mondays,” Financial Analysts Journal, vol. 29, no. 6, pp. 67–69, 1973.

[3] K. R. French, “Stock returns and the weekend effect,” Journal of Financial Economics, vol. 8, no. 1, pp. 55–69, 1980.

[4] H. Berument and H. Kiymaz, “The day of the week effect on stock market volatility,” Journal of Economics and Finance, vol. 25, no. 2, pp. 181–193, 2001.

[5] H. Kiymaz and H. Berument, “The day of the week effect on stock market volatility and volume: International evidence,” Review of Financial Economics, vol. 12, no. 4, pp. 363–380, 2003.

[6] N. L. Hourvouliades and V. Polimenis, “Day-of-the-week effect around the 2008 financial crisis,” Global Business and Economics Review, vol. 14, no. 4, pp. 283–307, None 2012. [Online]. Available: https://ideas.repec.org/a/ids/gbusec/v14y2012i4p283-307.html

[7] H. Zhao, “Did COVID-19 exacerbate the ‘day-of-the-week effect’ in the Nasdaq, S&P 500, and Russell 2000 stock markets?” Journal of Theory and Practice in Humanities and Social Sciences, vol. 1, no. 4, pp. 33–40, 2024.

[8] J. Jaffe and R. Westerfield, “The weekend effect in common stock returns: The international evidence,” Journal of Finance, vol. 40, no. 2, pp. 433–454, 1985.

[9] D. B. Keim and R. F. Stambaugh, “A further investigation of the weekend effect in stock returns,” Journal of Finance, vol. 39, no. 3, pp. 819–835, 1984.

[10] K. C. Chan, G. A. Karolyi, and R. Stulz, “Global financial markets and the risk premium on us equity,” Journal of Financial Economics, vol. 32, no. 2, pp. 137–167, 1992.

[11] T. G. Andersen and T. Bollerslev, “Intraday periodicity and volatility persistence in financial markets,” Journal of Empirical Finance, vol. 4, no. 2, pp. 115–158, 1997, High-Frequency Data in Finance, Part 1 [Online]. Available: https://www.sciencedirect.com/science/article/pii/S0927539897000042

[12] A. Kolte, J. Kumar Roy, D. Patil, A. Pawar, and P. Sharma, “Global financial crisis in 21st century: A brief analysis of stock exchanges,” 03 2021.

[13] A. K. Singh and R. K. Shrivastav, “Evaluating the impact of the global financial crisis on the stock markets of BRICS countries,” Indian Journal of Finance, vol. 12, no. 7, pp. 7–27, 2018.

[14] X. Jin and X. An, “Global financial crisis and emerging stock market contagion: A volatility impulse response function approach,” Research in International Business and Finance, vol. 36, pp. 179–195, 2016.

[15] D. Bhowmik, “Stock market volatility: An evaluation,” International Journal of Scientific and Research Publications, vol. 3, no. 10, pp. 1– 17, 2013.

[16] I. Karunanayake Athukoralalage, A. Valadkhani, and M. O’Brien, “Financial crises and stock market volatility transmission: evidence from Australia, Singapore, the UK, and the us.”

[17] H.-S. Kim, H.-G. Min, and J. A. McDonald, “Returns, correlations, and volatilities in equity markets: Evidence from six OECD countries during the us financial crisis,” Economic Modelling, vol. 59, pp. 9–22, 2016.

[18] J. K. Roy, “Assessing effects of world health pandemic on financial markets: An econometrics modeling method,” International Journal of Advanced Science and Technology, 2020.

[19] M. R. Gibbons and P. Hess, “Day of the week effects and asset returns,” The Journal of Business, vol. 54, no. 4, pp. 579–596, October 1981. [Online]. Available: https://ideas.repec.org/a/ucp/jnlbus/v54y1981i4p579-96.html

[20] L. Zhang, P. A. Mykland, and Y. A¨ıt-Sahalia, “A tale of two time scales: Determining integrated volatility with noisy high-frequency data,” Journal of the American Statistical Association, vol. 100, no. 472, pp. 1394– 1411, 2005.

[21] F. M. Bandi and J. R. Russell, “Separating microstructure noise from volatility,” Journal of Financial Economics, vol. 79, no. 3, pp. 655–692, 2006.

[22] P. R. Hansen and A. Lunde, “Realized variance and market microstructure noise,” Journal of Business & Economic Statistics, vol. 24, no. 2, pp. 127–161, 2006.

[23] T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys, “Modeling and forecasting realized volatility,” Econometrica, vol. 71, no. 2, pp. 579–625, 2003.

[24] A. Charles and O. Darne´, “Large shocks and the September 11th terrorist attacks on international stock markets,” Economic Modelling, vol. 23, no. 4, pp. 683–698, 2006. [Online]. Available: https://www.sciencedirect.com/science/article/pii/S026499930600040X

[25] A. GranA˜ © and H. Veiga, “Wavelet-based detection of outliers in financial time series,” Computational Statistics & Data Analysis, vol. 54, no. 11, pp. 2580–2593, November 2010. [Online]. Available: https://ideas.repec.org/a/eee/csdana/v54y2010i11p2580-2593.html

[26] J. Adams, D. Hayunga, S. Mansi, D. Reeb, and V. Verardi, “Identifying and treating outliers in finance,” Financial Management, vol. 48, no. 2, pp. 345–384, 2019. [Online]. Available: https://onlinelibrary.wiley.com/doi/abs/10.1111/fima.12269

[27] E. F. Fama, Efficient Capital Markets: A Review of Theory and Empirical Work. Chicago: University of Chicago Press, 2017, pp. 76–121. [Online]. Available: https://doi.org/10.7208/9780226426983-007