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Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange

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  • Ahmad Mohammad Obeid Gharaibeh
  • Abdullah Ali Tami Swailem Al Azmi

Abstract

This study examines the presence of the day-of-the-week effect anomaly in the Kuwait Stock Exchange (KSE) using Ordinary Least Square Method (OLS). The day-of-the-week effect is a phenomenon that constitutes a form of anomaly of the efficient capital markets theory. According to this phenomenon, the average daily return of the market is not the same for trading days of the week, as we would expect on the basis of the efficient market theory. This study investigates day of the week effect on the available data of daily returns on the weighted index in the Kuwait Stock Exchange with the period from January 2002 to September 2011. The findings show that KSE exhibits positive returns on the first and the last day of the week with significant negative returns on the Second day of the Trading week.

Suggested Citation

  • Ahmad Mohammad Obeid Gharaibeh & Abdullah Ali Tami Swailem Al Azmi, 2015. "Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(5), pages 757-765.
    • Handle: RePEc:asi:aeafrj:v:5:y:2015:i:5:p:757-765:id:1382
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    Cited by:

    1. Abdelkader Derbali & Slaheddine Hallara, 2016. "Day-of-the-week effect on the Tunisian stock market return and volatility," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1147111-114, December.
    2. Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.

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