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To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jbankfin.2007.03.005 Byline: Mei-Chu Ke (a), Yi-Chein Chiang (b), Tung Liang Liao (c) Keywords: Day-of-the-week effect; Stochastic dominance theory; Efficient set Abstract: This study uses stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market. Our results generally indicate that higher returns appear on the first three days of the week across different trading-day regimes in the Taiwan foreign exchange market, confirming day-of-the-week effect. Allocating part of investors' assets in risk-free assets is useful in distinguishing returns among weekdays for all currencies. Author Affiliation: (a) Department of Industrial Engineering and Management, National Chin-Yi University of Technology, 35, Lane 215, Section 1, Chung-Shan Road Taiping City, Taichung County 411, Taiwan (b) Department of International Trade, Feng Chia University, Taichung, Taiwan (c) Department of Finance, Feng Chia University, Taichung, Taiwan Article History: Received 26 September 2006; Accepted 19 March 2007