Day-of-the-Week Effect on Returns and Conditional Volatility: Empirical Evidence from Sudanese Stock Market (original) (raw)
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Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan
2011
Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus-operandi applicable in this research consists of daily stock prices concerned to KSE-100 Index, for the period January 2006 to December 2010. The working week for trade matters consist of five days. Study concludes that Tuesday returns are quite significant and positive. Hence it is inferred that there exists day effect in Pakistani stock market. The returns of Tuesday on an average are greater in comparison to rest of the days. The regression analysis is performed to meet the thrust of this study.
Analyzing the Existence of the Day of the Week Effect in Selected Developed Country Stock Exchanges
International Journal of Economics and Finance, 2015
The presence of asymmetries in stock returns, known as seasonal anomalies, has been rigorously probed in the array of academic literature evaluating the validity of Efficient Market Hypothesis. Even though there is an abundance of studies focusing on the presence of the day of the week effect, no clear-cut findings have been documented in both developed and emerging market stock exchanges. This paper attempts to investigate whether the day of the week effect exists on an initial dataset of 33 developed stock indices in the period between 1999 and 2013. However, the final dataset encompasses 24 indices belonging to 16 countries due to statistical considerations. The significant findings as to negative Monday and positive Friday returns belong to 3 and 6 of the indices, respectively. Whereas none of the markets demonstrates any significant Tuesday returns, only two of the markets show significantly negative Wednesday returns. Additionally, significant and positive Thursday returns are observed in 2 of the indices. Therefore, no systematic pattern has been detected as to the presence of the day of the week effect in selected developed stock indices during the period analyzed.
Day of the Week Effect of Stock Returns: Empirical Evidence from Colombo Stock Exchange
Kelaniya Journal of Management, 2014
Many empirical studies have been carried out both in the developed and developing economies to test the presence of anomalies in stock returns and volatility. The most commonly tested seasonal anomalies are day of the week effect, month of the year effect, holiday effect, Monday effect and Friday effect. Previous studies strongly support the existence of seasonal anomalies. Existence of seasonal anomalies let the investors to earn abnormal returns by trading on past information. This study attempts to test whether the day of the week effect is present in the stock returns of the Colombo Stock Exchange. For this purpose, stock returns based on ASPI for the period of 2002 to 2011 with 2390 observation are taken into account. The day of the week effect hypothesis is tested using both OLS model and GARCH (1,1) model. The research provides strong evidence to support the day of the week effect. Furthermore, there is a Thursday, Wednesday and Friday effect in the stock returns. Thus, investors can earn abnormal returns by trading on a strategy based on past information. It is recommended to buy stock on Mondays and Tuesdays and sell them on Wednesdays, Thursdays and Fridays to earn abnormal returns.
THE DAY OF THE WEEK EFFECT OF STOCK RETURNS: EMPIRICAL EVIDENCE FROM FIVE SELECTED ARAB COUNTRIES
This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.
This paper investigates Day-of-the-Week Effect in stock returns in the primary equity market Karachi Stock Exchange (KSE) of Pakistan by employing OLS regression approach. Data consists of daily closing prices of KSE-100 Index from January 01, 2004 to December 30, 2011. A traditional method of finding Day-of-the-Week Effect has been comprised of only one regression equation. Contrary to this plausible methodology, this paper proposes five separate models to statistically find significant effect on each trading day of the week. Non-parametric Kolmogorov-Smirnov (K-S) test confirms abnormal distribution of returns. Robust Standard Error addresses heteroscedasticity of returns; proved by abnormal distribution. The t-statistics tests significance of β coefficients and One Factor ANOVA tests the hypotheses related to significant difference of mean returns. Findings conclude mixed results due to the effect of political instability on the anomaly. No effect found in Sub Period I. While, negative Monday and Positive Friday effects revealed in Sub Period II; result consistent with the findings of Fields .
Day of the Week Effect of Stock Returns: Empirical Evidence from Bombay Stock Exchange
2018
A number of studies have been carried out from time to time both in the developed and developing economies to test the presence of anomalies in stock returns. Day of the week effect is the most commonly tested method to check the presence of seasonal anomalies. Previous empirical studies have strongly supported that seasonal anomalies do exist in stock markets. These seasonal anomalies provide an opportunity to the investors to earn abnormal returns by trading on past information. This study attempts to test whether the day of the week effect is present in the stock returns of the Bombay Stock Exchange in India. For this purpose, stock returns for the period between 2010 to 2017 with 1716 observation are taken into account. The day of the week effect hypothesis is tested using OLS model. The research does not support the day of the week effect. None of the coefficients (days of the week) were statistically significant at conventional level of significance (5%) indicating that there ...
day of week effect in indonesia stock market
This paper is about the examination of the day of the week effects in an emerging stock market of an Asia developing country, Indonesia. Indonesia currently has two indexes market, which are Jakarta Stock Exchange and LQ45, which consists only 45 selected stocks. This paper will show the readers what day of the week effects have on Jakarta Stock Exchange and LQ45. The specific objective of this paper is to investigate the existence of day of the week effect anomaly in Jakarta Stock Exchange (JKSE) and LQ45, which are the prime stock market in Indonesia. The results of this study will have important practical implications for capital market participant like investors, managers and regulatory authorities. Empirical results on this paper show that the day of the week effects are present in both Jakarta Stock Exchange and LQ45. The results indicate the significance of the day of week presence in both JKSE and LQ-45. Results show Mondays have negative trend of returns while Wednesdays have positive trend of returns. Dummy variable regression result also shows that only Monday and Wednesday showing statistically significant coefficient. In conclusion, the summary in this paper implies that the presence of day of week effect in Indonesia stock market is evident.
International Journal of Economics and Finance, 2012
This paper investigates the anomalous phenomenon of the day-of-the-week effect on Muscat securities market. The study uses a sample that covers the period from 1 December 2005 until 23 November 2011. It also utilizes a nonlinear symmetric GARCH (1,1) model and two nonlinear asymmetric models, TARCH (1,1) and EGARCH (1,1). The empirical findings provide evidence of no presence of the day-of-the-week effect. However, unlike other developed markets, Muscat stock market seems to start positive and ends also positive with downturn during the rest of the trading days. In addition, the parameter estimates of the GARCH model (and ) suggest a high degree of persistent in the conditional volatility of stock returns. Furthermore, the asymmetric EGARCH, and TARCH models show no significant evidence for asymmetry in stock returns. The study concludes that Muscat securities market is an efficient market.
Day of the week effect and stock returns: evidence from ibovespa
Revista De Financas Aplicadas, 2014
Day of the week effect study is focused as a stock market anomaly on the equity market practices in Brazil. The modus-operandi applicable in this research consists of daily stock prices concerned to Ibovespa Index, for the period January 1994 to December 2011. The working week for trade matters consist of five days. Study concludes that Friday returns are quite significant and positive. Hence it is inferred that there exists day effect in Brazilian stock market. The returns of Friday on an average are greater in comparison to rest of the days. The day-of-the-week effect happens because does not exist perfect markets.
Existence of Day-of-the-Week Effect: Evidence from Indian Stock Market
European Journal of Business and Management, 2016
This study is an attempt to measure Day-of-the-Week Effect on the return and volatility of BSE and NSE indices for the period of 2005 through 2014. Along with the descriptive statistics, t-test and ANOVA has been used to capture mean deference in returns for the trading days Monday through Friday. Mean returns of only one index, Nifty Junior, has found statistically significant while using t-test whereas, no such difference was observed in any of the index (BSE and NSE) in ANOVA. To confirm the findings of t-test and ANOVA, an econometric model AR (1)-GARCH (1, 1) has been used. In contrast of the findings of the other indices, return on Monday for BSE Small Cap has found statistically significant. It has also observed that, volatility on Monday for return on BSE Small Cap is statistically significant. Return on Tuesday, for BSE Small Cap and BSE Mid Cap, has found negative and statistically significant. Returns on these two indices have also found negatively volatile on Tuesday. We...