Day-of-the-week and holiday effects in the Korean stock market

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Key Points

The study analyzes how day-of-the-week and holiday proximity affect daily returns in the Korean stock market.
Utilized SARIMAX and XGBoost models for analysis.
Examined 5,682 trading days from January 2001 to December 2023.
Defined pure holiday variables by accurately calculating weekend days between trading days.
Conducted SHAP analysis to assess predictive power of variables.
KOSPI showed significantly higher returns on Tuesdays compared to Fridays (β = 0.0008, p = 0.079).
KOSDAQ exhibited significantly lower returns on Mondays compared to Fridays (β = -0.0012, p = 0.005).
Significant positive effect before holidays was observed (β = 0.0026, p < 0.001).
SHAP analysis revealed dominating predictive power of day variables in both indices.

This analysis shows the impact of day-of-the-week and holiday proximity on stock returns in Korea, suggesting calendar anomalies exist.

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Insu Choi (2026) studied this question.

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