Calendar Effects on Stock Market Returns: Evidence from the Stock Exchange of Mauritius (original) (raw)
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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 on Stock Return and Volatility: Evidence from Chittagong Stock Exchange
The study focuses on examining the stochastic process of return distribution in the Chittagong stock exchange (CSE) to deliver persistency of weak form of efficiency and time varying risk -return association for an emerging country like Bangladesh. This study used daily series of market index (CASPI) data over the period from January 1st 2004 to September 30th 2014.The OLS, GARCH (1, 1) regression and GARCH (1, 1) with dummy variable models are employed to identify the existence of the day-of-the-week effect on stock market returns and volatility. The empirical findings attained from the models verified that the day-of-the-week effects on stock returns and volatility are persistent in the stock market. Specifically, a negative effect is observed for Sunday while a positive effect occurs on Thursday. Moreover, the highest volatility occurs on Sunday and lowest volatility found in Thursday. All statistically significant results confirm the absence of weak form of efficiency in Chittag...
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.
Day-of-the-Week Effect on Stock Market Return and Volatility: Evidence from Indian Stock Market
IOSR Journal of Economics and Finance, 2016
The present paper tries to investigate the presence of the significant Day-of-the-Week effect in Indian Stock Market for the period covering from January 2000 to December 2015 using daily closing prices. The Dayof-the-Week effect assumes significance particularly because of the integration of the Indian financial market to the global market since the mid-1990s. The BSE Sensex and the NSE Nifty are mostly the representatives for looking at the behavior of the Indian financial market in a macroeconomic setup and hence they are included for analysis. In order to fulfill the objectives the paper has incorporated the GARCH model specifications where a conditional variance term is included to eliminate the problem of heteroscadasticity of the residual term. The empirical results suggest that there exists no Day-of-the-Week effect on the stock return of Sensex and Nifty indexes. However, the volatility on Tuesday is statistically significant to explain the variation in the expected stock return.
This paper investigates the day of the week effect anomaly on stock market returns and the conditional volatility of the Khartoum stock exchange (KSE) from Sudan over the period of 2 nd January 2006 to 30 th October 2011 using daily observations on the general market index. The paper tests for possible existence of the day of the week variation by employing Ordinary Least Squares (OLS) technique as well as two different univariate specifications of the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model. Empirical results based on using OLS and GARCH models find; in general, negative and insignificant estimated parameters for all days of the week in both returns and conditional volatility equations. Also, the results indicate that the day of the week effect is not influenced by the stock market risk based on using GARCH-M(1,1) model. Furthermore, results show that the null hypothesis that the day of the week dummy variables are jointly equal to zero is accepted. Hence, day of the week effect is not present in the KSE index returns during the period of the study, a finding which contradicts most of the empirical finance literature investigating the phenomena in financial markets across different regions and countries.
This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.
Testing the Day-of-the-Week Effect in the Indian Stock Market using the AR-GARCH Model
SSRN Electronic Journal, 2020
This study combines three distinct empirical models of stock returns into a single model: the autoregressive model, which suggests that stock returns are determined by their own past values, the (generalised) autoregressive conditional heteroscedasticity model, which suggests that stock returns conditional volatility is determined by its past values and by returns shocks, and the day-ofthe-week effect, which suggests that stock returns are higher on particular days of the week (usually Fridays). All three models represent departures from the Efficient Market Hypothesis (EMH), in the sense of proposing a certain degree of predictability in stock returns. The study examines day-of-the-week effects on stock returns and volatility using an AR-GARCH model with day-of-the-week dummy variables for twenty major stocks from the Indian banking sector. The stock price data was collected from the National Stock Exchange (NSE). The study period selected was Apr. 1, 2018 to Mar. 31, 2019, a period of one year.
The day of the week effect on stock market volatility: Istanbul Stock Exchange
2004
This study investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) throught the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with -0,716 compared to return on Wednesday.
Day of the week effect on the Zimbabwe Stock Exchange: A non-linear GARCH analysis
2015
This study analysed the day of the week effect on the Zimbabwe Stock Exchange (ZSE) by taking into account volatility of returns. The purpose of the study was to establish whether daily mean returns across a trading week differ from each other. We employ a non-linear approach in modelling the day of the week effects. In particular, we used the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and the Exponential GARCH (EGARCH) models. We used industrial and mining daily closing indices data from 19 February 2009 to 31 December 2013. The data was retrieved from the ZSE website. EViews 7 software was utilised for data analysis. In order to test the null hypothesis of equality of daily mean returns, a Wald test was carried out. The Wald F-statistic rejected the null hypothesis of equality of mean returns for the industrial index. We found the traditional negative Monday and positive Friday effect for the industrial index in GARCH (1,1) and EGARCH (1,1) models. The GARCH...
Universiti Teknologi MARA, 2021
The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible reasons for the insignificant return could be due to the lack of time-series data. However, the significant monthly effect on returns of May, November, and December while the quarterly effect on the returns is found significant in the first quarter. This study also concludes that volatility shock is persistent in the returns for all those three market anomalies.