{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T17:40:51Z","timestamp":1792690851718,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":84,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This study examines how market uncertainty shapes short horizon weekday-dependent seasonality (day-of-the-week effect) in volatility and liquidity. Conditioning on market uncertainty reveals pronounced heterogeneity in uncertainty sensitivity seasonality across weekdays. In particular, volatility and daily high-low spreads respond most strongly to uncertainty levels on Tuesdays, while midweek elevations in levels attenuate as uncertainty increases. Rolling window regressions and crisis specific analyses further show that these uncertainty-related patterns are state dependent and vary across market regimes. Overall, the results provide cross country evidence that short horizon variation in volatility and liquidity reflects uncertainty driven risk dynamics rather than fixed calendar regularities, therefore extending the Uncertainty Structure Hypothesis. The findings suggest implications for risk transmission, liquidity provision, and short horizon risk management.<\/jats:p>","DOI":"10.2139\/ssrn.7657238","type":"posted-content","created":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T16:58:58Z","timestamp":1792688338000},"source":"Crossref","is-referenced-by-count":0,"title":["Market Uncertainty and Short Horizon Risk: New Evidence from Volatility and Liquidity Across the Trading Week"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4520-060X","authenticated-orcid":true,"given":"Leonard","family":"Grebe","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tim","family":"Trinkaus","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Maria","family":"de la O Herv\u00e1s Zurita","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"2","key":"ref1","doi-asserted-by":"crossref","first-page":"263","DOI":"10.2307\/2331225","article-title":"The Individual Investor and the Weekend Effect","volume":"29","author":"A Abraham","year":"1994","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"195","DOI":"10.3982\/QE243","article-title":"Estimating ambiguity aversion in a portfolio choice experiment","volume":"5","author":"D Ahn","year":"2014","journal-title":"Quantitative Economics"},{"issue":"1","key":"ref3","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1016\/0261-5606(94)90026-4","article-title":"Anomalies or illusions? 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