The day-of-the-week volatility effect in Taiwan's stock index futures market is puzzle

The study aims to measure the unconditional volatility of the Taiwan's stock index futures market through daily and intraday 5-minute frequency trading data, and simultaneously investigate the day-of-the-week volatility and Monday effects. The results indicate that when testing empirical data with daily frequency trading data, the Taiwan's stock index futures market is significantly supported in day-of-the-week volatility and Monday effects. Intraday 5-minute frequency trading data, which are more detailed, are used to test empirical data that have not supported day-of-the-week volatility phenomenon in Taiwan's stock index futures market.