Socially responsible investing and the day-of-the-week effect

Purpose – This study empirically examines calendar anomalies, with a specific focus on the day-of-the-week (DOW) effect within the context of socially responsible investing (SRI). Design/methodology/approach – This study analyzes daily returns from the Dow Jones Sustainability Index (DJSI) Asia Pacific for the past five years (2019–2024). The DJSI is widely regarded as a leading benchmark for corporate sustainability and aligns closely with SRI principles. To explore the DOW effect, the study employs various types of regression analysis to identify patterns of significantly abnormal returns on specific trading days of the week. Findings – Through various estimation methods, there is robust evidence of the DOW effect within the DJSI Asia Pacific. Specifically, Tuesday returns are consistently positive and significantly higher than returns on other trading days of the week. Practical implications – The findings carry managerial implications for SRI-oriented investors aiming to formulate trading strategies that enhance the likelihood of achieving investment goals within the DJSI Asia Pacific. Furthermore, the findings reveal potential market inefficiencies associated with sustainable investment, which warrant further policy consideration. Originality/value – This is the first study to examine the presence of the DOW effect in stock returns specifically within the SRI context. Furthermore, by analyzing data from the recent five years (2019–2024), this study offers contemporary insights into the patterns of daily returns within the DJSI Asia Pacific.