Calendar seasonality in returns of financial markets represents interesting departure from their informational efficiency. This is especially true for the popular “day-of-the-week” effect often seen in the stock markets of even the most developed economies, when in certain days of the week, particularly Mondays, returns of equity assets appear to be lower as compared to other days of the week. As this anomaly presents a distinct challenge to the Efficient Market Hypothesis (EMH), which has been demonstrated in the Philippine Stock Exchange during its still ongoing modernization period, the present study attempts to determine if this challenge exists in the PSE through this period. Employing cutting-edge non-parametric statistical procedures, including a level of significance correction to obviate the possibility of “false positive” outcomes in the pairwise multiple comparison tests of trading day effects, the study is able to reach a conclusion that the Philippine Stock Exchange, including its six sectoral submarkets are free from the “day-of-theweek” effect. Hence, the potential challenge to the weak form market efficiency of the local stock market posed by this anomaly does not exist during the modern contemporary period.