Day-of-the-Week Effect and January Effect Examined in Sweet Crude Oil

Abstract

This study examined the day-of-the-week effect and January Effect in the crude oil returns for the period March 30th 1983 through October 12th 2012. The results of this study indicate the presence of the day-of-the-week effect in Crude Oil Markets. The results of this study also indicate that there may be a daily seasonality in the variance of oil returns. However, the findings of this study show that January effect in the crude oil market does not exist in the mean returns or variance.