Calendar Anomalies in Crisis: Intra-Day Volatility Patterns During the GFC and COVID-19

This paper explores how intra-day volatility behaves across different weekdays during periods of major financial stress, focusing specifically on the S&P 500 and NASDAQ-100 indices. The analysis spans two significant market disruptions—the 2008 Global Financial Crisis and the 2020 COVID-19 crash—using one-minute interval data to capture short-term fluctuations. The study applies both parametric and non-parametric statistical techniques to examine whether patterns such as weekday volatility differences and the Monday effect persist, diminish, or shift under varying market regimes. The results indicate that while weekday-based volatility differences are less pronounced during crash and recovery periods, they re-emerge post-crisis, particularly in the S&P 500 index. Mondays typically display lower volatility, whereas Fridays often exhibit heavier tails in their distribution. A weak but statistically meaningful correlation was found between weekday order and volatility, suggesting a slight upward trend in volatility toward the end of the week. These findings contribute to the understanding of temporal risk dynamics and provide useful context for volatility modeling, especially in post-crisis environments where behavioral patterns may return to more predictable rhythms.