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)
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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 authors´ 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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Volume (Year): 56 (2006) Issue (Month): 5-6 (May) Pages: 258-277 Download reference. The following formats are available: HTML
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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