  Stock markets can become inefficient due to calendar anomalies known as
day-of-the-week effect. Calendar anomalies are well-known in financial
literature, but the phenomena remain to be explored in econophysics. In this
paper we use multifractal analysis to evaluate if the temporal dynamics of
market returns also exhibits calendar anomalies such as day-of-the-week
effects. We apply the multifractal detrended fluctuation analysis (MF-DFA) to
daily returns of market indices around the world for each day of the week. Our
results indicate that individual days of the week are characterized by distinct
multifractal properties. Monday returns tend to exhibit more persistent
behavior and richer multifractal structures than other day-resolved returns.
Shuffling the series reveals that multifractality arises both from a broad
probability density function and from long-term correlations. From the
time-dependent multifractal analysis we find that multifractal spectra for
Monday returns are much wider than for other days during periods of financial
crises. The presence of day-of-the-week effects in multifractal dynamics of
market returns motivates further research on calendar anomalies from an
econophysics perspective.
