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The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)

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Author Info

  • Yeliz Yalcin

    ()
    (Department of Econometrics, Gazi University, Ankara, Turkey)

  • Eray M. Yycel

    ()
    (Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Ankara, Turkey and Department of Economics, Bilkent University, Ankara, Turkey)

Abstract

This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authorsĀ“ sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.

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Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 56 (2006)
Issue (Month): 5-6 (May)
Pages: 258-277

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Handle: RePEc:fau:fauart:v:56:y:2006:i:5-6:p:258-277

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Related research

Keywords: day-of-the-week effect; EGARCH-M; emerging-market economies; volatility;

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References

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  1. Sinclair Davidson & Robert Faff, 1999. "Some additional Australian evidence on the day-of-the-week effect," Applied Economics Letters, Taylor & Francis Journals, vol. 6(4), pages 247-249.
  2. David Bell & Eric Levin, 1998. "What causes intra-week regularities in stock returns? Some evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 353-357.
  3. Cosimano, Thomas F & Jansen, Dennis W, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 409-21, August.
  4. Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992. "Global financial markets and the risk premium on U.S. equity," Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
  5. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
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Cited by:
  1. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
  2. Dragos Stefan Oprea & Elena Valentina Tilica, 2014. "Day-of-the-Week Effect in Post-Communist East European Stock Markets," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 119-129, July.
  3. Dhaoui, Abderrazak & Khraief, Naceur, 2014. "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers 2014-12, Kiel Institute for the World Economy.
  4. Ndako, Umar Bida, 2013. "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper 48076, University Library of Munich, Germany.
  5. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
  6. Rayenda Khresna Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Psychological factors on irrational financial decision making: Case of day-of-the week anomaly," Humanomics: The International Journal of Systems and Ethics, Emerald Group Publishing, vol. 28(4), pages 236-257, November.

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