Beyond the replication crisis of weekly seasonality: Introducing the uncertainty structure hypothesis

To shed more light on the replication crisis of stock market anomalies, this study examines market uncertainty as a key driver of conflicting findings on the weekly seasonality of daily stock returns (day-of-the-week effect). Introducing the Uncertainty Structure Hypothesis (USH), the findings show how fluctuations in uncertainty contribute to the replication crisis of the stock market anomaly.A rolling regression analysis across international stock indices indicates that uncertainty significantly impacts weekly pattern in daily returns, particularly on Mondays, Tuesdays, and Wednesdays. A meta-analysis of 83 studies further confirms that uncertainty systematically influences empirical results, explaining the disappearance of significant Wednesday and Friday effects in previous research. Additionally, reinforcement learning simulations reveal that incorporating uncertainty into AI-driven investment strategies improves portfolio performance.These findings suggest that market uncertainty is a fundamental driver of seasonality anomalies and their inconsistent replication. By integrating uncertainty into financial modeling, future research can enhance the robustness of anomaly detection and improve the reliability of empirical results.